Dispersion of information or market behaviour : general public trading in S & P 500 index futures

Gannon, Gerard 2009, Dispersion of information or market behaviour : general public trading in S & P 500 index futures, in PBFEAM 2009 & ICBA 2009 : Conference proceedings, School of Business, UTCC, Bangkok, Thailand.

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Title Dispersion of information or market behaviour : general public trading in S & P 500 index futures
Author(s) Gannon, Gerard
Conference name Pacific Basin Finance, Economics, Accounting and Management. Conference (17th : 2009 : Bangkok, Thailand)
Conference location Bangkok, Thailand
Conference dates 1-2 Jul. 2009
Title of proceedings PBFEAM 2009 & ICBA 2009 : Conference proceedings
Editor(s) [Unknown]
Publication date 2009
Conference series Pacific Basin Finance, Economics, Accounting and Management Conference
Publisher School of Business, UTCC
Place of publication Bangkok, Thailand
Keyword(s) S&P500 trade data
simultaneous volatility
market makers
general public
lead/lag volatility
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 two way trade between market makers (CTI1) and the general public (CTI4) 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. There is evidence that existing theoretical models of the general public trading behaviour do not explain such behaviour in these very actively traded markets. These effects can depend more on market conditions than what is suggested in theoretical models.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category E1 Full written paper - refereed
HERDC collection year 2009
Copyright notice ©2009, PBFEAM
Persistent URL http://hdl.handle.net/10536/DRO/DU:30020744

Document type: Conference Paper
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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