Information Flow, Trading Activity and Commodity Futures Volatility
نویسندگان
چکیده
منابع مشابه
Information, trading, and volatility
We examine the effects of trading and information flows on the short-run behavior of stock prices by comparing the behavior of stock return volatility during trading and nontrading periods. We define nontrading periods as periods when exchanges and businesses are open but traders endogenously choose not to trade. After correcting for the bid/ask bounce and stickiness in quotes, we find that a l...
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I examine whether earnings that are smoother or more volatile than cash flows provide or garble information. Consistent with theories that predict more informed trading when public information is less informative, I find that bid-ask spreads and the probability of informed trading are higher both when earnings are smoother than cash flows and also when earnings are more volatile than cash flows...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2015
ISSN: 0270-7314
DOI: 10.1002/fut.21724