A. G. Malliaris is the Walter F. Mullady Senior Professor of Business Administration at Loyola University of Chicago. Jorge L. Urrutia is a Professor of Finance at Loyola University of Chicago. The Journal of Futures Markets, Vol. 18, No. 1, 53â72 (1998) 1998 by John Wiley & Sons, Inc. CCC 0270-7314/98/010053-20 Malliaris and Urrutia ability. Key references in this direction of research are Carlton (1983, 1984) and Martell and Wolf (1987). Theoretical models of trading volume have been developed also by Karpoff (1986), Huffman (1987), and Pagano (1989). Researchers have emphasized the importance of the relationship between price and volume. Karpoff (1987) gives several reasons why the priceâvolume relationship is crucial in capital markets. He argues that the priceâvolume relationship can provide insight about the market structure, because information is more available for heavily traded securities than for thinly traded securities. Also, larger volumes make trade more competitive and lower the bidâask spread. Trading volume also plays an important role in futures markets. Most economic reports published by the futures exchanges and regulatory agencies use volume data to measure the growth or decline of futures contracts. Volume data are also used to measure shifts in the composition of
The Journal of Futures Markets – Wiley
Published: Feb 1, 1998
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