Volume and Volatility in Foreign Currency Futures Markets

Volume and Volatility in Foreign Currency Futures Markets In this paper we propose and test several hypotheses concerning time series properties of trading volume, price, short and long-term relationships between price and volume and the determinants of trading volume in forcign currency futures. The nearby contracts for British Pound, Canadian Dollar, Japanese Yen, German Mark and Swiss Franc are analyzed in three frequencies i.e. daily, weekly and monthly. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Volume and Volatility in Foreign Currency Futures Markets

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Publisher
Springer Journals
Copyright
Copyright © 1998 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1008253718001
Publisher site
See Article on Publisher Site

Abstract

In this paper we propose and test several hypotheses concerning time series properties of trading volume, price, short and long-term relationships between price and volume and the determinants of trading volume in forcign currency futures. The nearby contracts for British Pound, Canadian Dollar, Japanese Yen, German Mark and Swiss Franc are analyzed in three frequencies i.e. daily, weekly and monthly.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 6, 2004

References

  • Futures Markets: Their Purpose, Their History, Their Growth, Their Successes and Failures
    Carlton, D.
  • Diffusion Coefficient Estimation And Asset Pricing When Risk Premia And Sensitivities Are Time Varying
    Chesney, M.; Elliott, R.J.; Madan, D.; Yang, H.

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