Market makers v's the general public : a first look at S & P500 futures trade data

Gannon, Gerard L. 2008, Market makers v's the general public : a first look at S & P500 futures trade data, in PBFEAM 2008 : Conference proceedings and abstracts from the 16th Annual Conference on Pacific Basin Finance Economics Accounting Management Conference, Faculty of Business, Queensland University of Technology, Brisbane, Qld., pp. 1-39.

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Title Market makers v's the general public : a first look at S & P500 futures trade data
Author(s) Gannon, Gerard L.
Conference name Conference on Pacific Basin Finance Economics Accounting Management (16th : 2008 : Brisbane, Queensland)
Conference location Brisbane, Queensland
Conference dates 2-4 July 2008
Title of proceedings PBFEAM 2008 : Conference proceedings and abstracts from the 16th Annual Conference on Pacific Basin Finance Economics Accounting Management Conference
Editor(s) Robinson, Tim
Christensen, Mark
Fletcher, Angela
Publication date 2008
Conference series Conference on Pacific Basin Finance, Economics, Accounting and Management
Start page 1
End page 39
Publisher Faculty of Business, Queensland University of Technology
Place of publication Brisbane, Qld.
Keyword(s) S&P500 trade data
simultaneous volatility
volume
lead/lag
Summary This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for market trade and also two way trade between market makers (CT1) and the general public (CT4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples volume to futures volatility leading effects and also futures volatility to cash volatility leading effects dominate. The results raise important issues for risk management and dynamic hedging models employing intra-day trader data. A number of important issues for further analysis are also raised in this paper.
ISBN 9781741072433
Language eng
Field of Research 150201 Finance
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category E1 Full written paper - refereed
Copyright notice ©2008, PBFEAM
Persistent URL http://hdl.handle.net/10536/DRO/DU:30018347

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
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