Volume and price relationships: Hypotheses and testing for agricultural futures

Volume and price relationships: Hypotheses and testing for agricultural futures 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, 53–72 (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 price–volume relationship is crucial in capital markets. He argues that the price–volume 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 bid–ask 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 http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

Volume and price relationships: Hypotheses and testing for agricultural futures

Loading next page...
 
/lp/wiley/volume-and-price-relationships-hypotheses-and-testing-for-agricultural-A9Rem1dJsj
Publisher
Wiley
Copyright
Copyright © 1998 John Wiley & Sons, Inc.
ISSN
0270-7314
eISSN
1096-9934
DOI
10.1002/(SICI)1096-9934(199802)18:1<53::AID-FUT3>3.0.CO;2-A
Publisher site
See Article on Publisher Site

Abstract

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, 53–72 (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 price–volume relationship is crucial in capital markets. He argues that the price–volume 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 bid–ask 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

Journal

The Journal of Futures MarketsWiley

Published: Feb 1, 1998

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off