EN
A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets
Abstract
In this paper, we study the relationship between trading-related variables and volatility in futures markets, from a new unifying perspective, which is based on the separation of open and closed positions. Volatility in stock index futures markets (Standard & Poor’s 500, DAX 30 and Nikkei 225) is related to the flow of contracts entered into the markets and the flow of contracts that are closed out. In general, the daily changes in the number of open and closed positions are both positively correlated with volatility. Additionally, there is a stronger positive relationship between the number of open (respectively, closed) positions and contemporaneous volatility on those days when the opening of new positions (respectively, the closing of old ones) dominates the market. Finally, massive intra-day trading does not seem to alter the average volatility. The change in perspective allows us to provide a consistent story for the effect of the change in the open interest on the volatility analysed in the previous literature.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
June 1, 2017
Submission Date
June 1, 2017
Acceptance Date
-
Published in Issue
Year 2017 Volume: 7 Number: 2
APA
Carchano, O., Lucia, J., & Pardo, Á. (2017). A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. International Journal of Economics and Financial Issues, 7(2), 397-407. https://izlik.org/JA34XH54ZJ
AMA
1.Carchano O, Lucia J, Pardo Á. A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. IJEFI. 2017;7(2):397-407. https://izlik.org/JA34XH54ZJ
Chicago
Carchano, Oscar, Julio Lucia, and Ángel Pardo. 2017. “A New Perspective on the Relationship Between Trading Variables and Volatility in Futures Markets”. International Journal of Economics and Financial Issues 7 (2): 397-407. https://izlik.org/JA34XH54ZJ.
EndNote
Carchano O, Lucia J, Pardo Á (June 1, 2017) A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. International Journal of Economics and Financial Issues 7 2 397–407.
IEEE
[1]O. Carchano, J. Lucia, and Á. Pardo, “A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets”, IJEFI, vol. 7, no. 2, pp. 397–407, June 2017, [Online]. Available: https://izlik.org/JA34XH54ZJ
ISNAD
Carchano, Oscar - Lucia, Julio - Pardo, Ángel. “A New Perspective on the Relationship Between Trading Variables and Volatility in Futures Markets”. International Journal of Economics and Financial Issues 7/2 (June 1, 2017): 397-407. https://izlik.org/JA34XH54ZJ.
JAMA
1.Carchano O, Lucia J, Pardo Á. A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. IJEFI. 2017;7:397–407.
MLA
Carchano, Oscar, et al. “A New Perspective on the Relationship Between Trading Variables and Volatility in Futures Markets”. International Journal of Economics and Financial Issues, vol. 7, no. 2, June 2017, pp. 397-0, https://izlik.org/JA34XH54ZJ.
Vancouver
1.Oscar Carchano, Julio Lucia, Ángel Pardo. A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. IJEFI [Internet]. 2017 Jun. 1;7(2):397-40. Available from: https://izlik.org/JA34XH54ZJ