Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets

1993 ◽  
Vol 28 (1) ◽  
pp. 21 ◽  
Author(s):  
Hendrik Bessembinder ◽  
Paul J. Seguin
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Price Volatility ◽  
Market Depth

Monotonicity, linearity and symmetry in the price volatility–volume relationship

2020 ◽  
Vol 37 (1) ◽  
pp. 110-133 ◽  
Author(s):  
Panos Fousekis ◽  
Dimitra Tzaferi
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Statistical Tests ◽  
Price Volatility ◽  
Local Linear Regression ◽  
Linear Regression Models ◽  
Content Type ◽  
Nonparametric Approach ◽  
Volume Relationship ◽  
The Usa

Purpose This paper aims to investigate the contemporaneous link between price volatility and trading volume in the futures markets of energy. Design/methodology/approach Non-parametric (local linear) regression models and formal statistical tests are used to assess monotonicity, linearity and symmetry. The data are daily price and volumes from five futures markets (West Texas Intermediate, Brent, gasoline, heating oil and natural gas) in the USA. Findings Trading volume and price volatility have, in all markets, a strong nonlinear relation to each other. There are violations of monotonicity locally but not globally. The qualitative nature of the price shocks may have implications for the trading activity locally. Originality/value To the authors’ best knowledge, this is the first manuscript that investigates simultaneously and formally all the three important issues (i.e. monotonicity, linearity and asymmetry) for the price volatility–volume relationship using a highly flexible nonparametric approach.

scholarly journals Trading Volume in Dealer Markets

2010 ◽  
Vol 45 (6) ◽  
pp. 1447-1484 ◽  
Author(s):  
Katya Malinova ◽  
Andreas Park
Keyword(s):  
Financial Market ◽  
Trading Volume ◽  
Price Volatility ◽  
Higher Order ◽  
Absolute Value ◽  
Order Imbalance ◽  
Market Depth ◽  
Trading Model ◽  
The Absolute

AbstractWe develop a financial market trading model in the tradition of Glosten and Milgrom (1985) that allows us to incorporate nontrivial volume. We observe that in this model price volatility is positively related to the trading volume and to the absolute value of the net order flow (i.e., the order imbalance). Moreover, higher volume leads to higher order imbalances. These findings are consistent with well-established empirical findings. Our model further predicts that higher trader participation and systematic improvements in the quality of traders’ information lead to higher volume, larger order imbalances, lower market depth, shorter duration, and higher price volatility.

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