TY - JOUR
T1 - Price Volatility, Trading Volume, and Market Depth
T2 - Evidence from Futures Markets
AU - Bessembinder, Hendrik
AU - Seguin, Paul J.
PY - 1993
Y1 - 1993
N2 - The relations between volume, volatility, and market depth in eight physical and financial futures markets are examined. Evidence suggests that linking volatility to total volume does not extract all information. When volume is partitioned into expected and unexpected components, the paper finds that unexpected volume shocks have a larger effect on volatility. Further, the relation is asymmetric; the impact of positive unexpected volume shocks on volatility is larger than the impact of negative shocks. Finally, consistent with theories of market depth, the study shows large open interest mitigates volatility.
AB - The relations between volume, volatility, and market depth in eight physical and financial futures markets are examined. Evidence suggests that linking volatility to total volume does not extract all information. When volume is partitioned into expected and unexpected components, the paper finds that unexpected volume shocks have a larger effect on volatility. Further, the relation is asymmetric; the impact of positive unexpected volume shocks on volatility is larger than the impact of negative shocks. Finally, consistent with theories of market depth, the study shows large open interest mitigates volatility.
UR - http://www.scopus.com/inward/record.url?scp=84971844636&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84971844636&partnerID=8YFLogxK
U2 - 10.2307/2331149
DO - 10.2307/2331149
M3 - Article
AN - SCOPUS:84971844636
SN - 0022-1090
VL - 28
SP - 21
EP - 39
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 1
ER -