Arbeitspapier
Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach
This study examines the difference in the intraday return-volume relationships of spot and index futures. Quantile regression analyses show that the widening effect of the stock trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the futures trading volume remains over the long term. The short-term effect of the stock volume and the long-term effect of the futures volume are both consistent for contemporaneous trading volumes. Furthermore, the futures volume has a significantly positive effect on the option-implied volatility, whereas the stock volume is only associated with the implied volatility of at-the-money options, which can be traded quickly. In contrast, the implied volatility of out-of-the-money options, which are highly speculative, is strongly related to the futures volume. The findings suggest that the stock volume is mainly induced by hedging demand or disagreements of opinion, whereas the futures volume contains information about price movements.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2018-68
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
information channel
intraday information content
KOSPI 200 futures
option-implied volatility
return-volume relationship
quantile regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lee, Jaeram
Lee, Geul
Ryu, Doojin
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lee, Jaeram
- Lee, Geul
- Ryu, Doojin
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2018
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