Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/14672
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kalotychou, Elena | - |
dc.contributor.author | Staikouras, Sotiris | - |
dc.contributor.other | Καλοτύχου, Έλενα | - |
dc.date.accessioned | 2019-07-23T07:33:34Z | - |
dc.date.available | 2019-07-23T07:33:34Z | - |
dc.date.issued | 2006-09-27 | - |
dc.identifier.citation | Applied Economics, 2006, vol. 38, no. 9, pp. 997-1005 | en_US |
dc.identifier.issn | 00036846 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/14672 | - |
dc.description.abstract | 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. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Applied Economics | en_US |
dc.rights | © Taylor & Francis. | en_US |
dc.subject | analytical framework | en_US |
dc.subject | empirical analysis | en_US |
dc.subject | liability | en_US |
dc.title | Volatility and trading activity in Short Sterling futures | en_US |
dc.type | Article | en_US |
dc.collaboration | City, University of London | en_US |
dc.subject.category | Economics and Business | en_US |
dc.country | United Kingdom | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1080/00036840500400038 | en_US |
dc.identifier.scopus | 2-s2.0-33744909600 | - |
dc.identifier.url | https://api.elsevier.com/content/abstract/scopus_id/33744909600 | - |
dc.relation.issue | 9 | en_US |
dc.relation.volume | 38 | en_US |
cut.common.academicyear | 2006-2007 | en_US |
dc.identifier.spage | 997 | en_US |
dc.identifier.epage | 1005 | en_US |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.fulltext | No Fulltext | - |
item.languageiso639-1 | en | - |
item.cerifentitytype | Publications | - |
item.openairetype | article | - |
crisitem.journal.journalissn | 1466-4283 | - |
crisitem.journal.publisher | Taylor & Francis | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.orcid | 0000-0003-2824-0383 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
Appears in Collections: | Άρθρα/Articles |
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