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Τίτλος: Volatility and trading activity in Short Sterling futures
Συγγραφείς: Kalotychou, Elena 
Staikouras, Sotiris 
metadata.dc.contributor.other: Καλοτύχου, Έλενα
Major Field of Science: Social Sciences
Field Category: Economics and Business
Λέξεις-κλειδιά: analytical framework;empirical analysis;liability
Ημερομηνία Έκδοσης: 27-Σεπ-2006
Πηγή: Applied Economics, 2006, vol. 38, no. 9, pp. 997-1005
Volume: 38
Issue: 9
Start page: 997
End page: 1005
Περιοδικό: Applied Economics 
Περίληψη: The objective of the present study is to examine the interplay between information, trading volume and volatility in Short Sterling futures. More specifically, the paper concentrates on the role of liquidity variables as conduits of information arrival and whether such variables could be an exclusive platform of the market's information set. The analytical framework employed to examine the interaction among those factors is based on the conditional volatility family of techniques. The approach is well suited as it naturally leads to examine the interaction among volatility and sources of information. In an attempt to identify proxies of information and their role in determining volatility, four main conclusions have emerged. First, the empirical findings suggest that both volume and open interest exhibit a positive correlation with volatility. Second, based on the current methodology, one can observe the persistence and importance of GARCH effects after accounting for liquidity. Third, the liquidity variables remain significantly exogenous compared with other studies. Finally, although both liquidity variables are found significant, their role as vehicles of transmitting information is proved to be weak with respect to the information itself.
URI: https://hdl.handle.net/20.500.14279/14672
ISSN: 00036846
DOI: 10.1080/00036840500400038
Rights: © Taylor & Francis.
Type: Article
Affiliation: City, University of London 
Publication Type: Peer Reviewed
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