Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194569 
Year of Publication: 
2019
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 13 [Issue:] 2019-26 [Publisher:] Kiel Institute for the World Economy (IfW) [Place:] Kiel [Year:] 2019 [Pages:] 1-38
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
Abstract: 
This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the futures trading volume on the distribution of spot returns remains over the relatively long term. The short-term effect of the spot volume and the long-term effect of the futures volume are consistent for trading volume shocks. The findings suggest that the spot volume is primarily induced by the demand for hedging or differences of opinion, whereas the futures volume contains information about price movements.
Subjects: 
index futures
information channel
intraday information content
option- implied volatility
quantile regression
return-volume relationship
JEL: 
C22
G12
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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