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Interday variations in volume, variance and participation of large speculators

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  • Chang, Eric C.
  • Michael Pinegar, J.
  • Schachter, Barry

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 21 (1997)
Issue (Month): 6 (June)
Pages: 797-810

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Handle: RePEc:eee:jbfina:v:21:y:1997:i:6:p:797-810

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References

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  1. Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 23(03), pages 269-283, September.
  2. Chang, Eric C, 1985. " Returns to Speculators and the Theory of Normal Backwardation," Journal of Finance, American Finance Association, American Finance Association, vol. 40(1), pages 193-208, March.
  3. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, Econometric Society, vol. 55(3), pages 703-08, May.
  4. Harris, Lawrence, 1986. "Cross-Security Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 21(01), pages 39-46, March.
  5. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, American Finance Association, vol. 45(1), pages 231-43, March.
  6. Carter, Colin A. & Rausser, Gordon C. & Schmitz, Andrew, 1982. "Efficient asset portfolios and the theory of normal backwardation," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series, Department of Agricultural & Resource Economics, UC Berkeley qt59c8m4x6, Department of Agricultural & Resource Economics, UC Berkeley.
  7. Harvey, Campbell R & Huang, Roger D, 1991. "Volatility in the Foreign Currency Futures Market," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 4(3), pages 543-69.
  8. Hartzmark, Michael L, 1987. "Returns to Individual Traders of Futures: Aggregate Results," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 95(6), pages 1292-1306, December.
  9. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 22(01), pages 109-126, March.
  10. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 29(02), pages 263-277, June.
  11. Chang, Eric C. & Loche, Peter R., 1996. "The Performance and Market Impact of Dual Trading: CME Rule 552," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 5(1), pages 23-48, January.
  12. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
  13. Wiggins, James B, 1991. "Empirical Tests of the Bias and Efficiency of the Extreme-Value Variance Estimator for Common Stocks," The Journal of Business, University of Chicago Press, vol. 64(3), pages 417-32, July.
  14. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(1), pages 5-26, September.
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Cited by:
  1. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, Elsevier, vol. 12(4), pages 363-380.
  2. Souček, Michael, 2013. "Crude oil, equity and gold futures open interest co-movements," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 306-315.
  3. Radalj, Kim F. & McAleer, Michael, 2005. "Speculation and destabilisation," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 69(1), pages 151-161.
  4. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 23(5), pages 394-414.
  5. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.
  6. Bohl, Martin T. & Stephan, Patrick M., 2013. "Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, Southern Agricultural Economics Association, vol. 45(04), November.
  7. Wang, Changyun, 2001. "The behavior and performance of major types of futures traders," MPRA Paper 36426, University Library of Munich, Germany, revised Jul 2002.
  8. Wang, Changyun, 2001. "The effect of net positions by type of trader on volatility in foreign currency futures markets," MPRA Paper 36428, University Library of Munich, Germany, revised Nov 2001.
  9. Wang, Changyun, 2004. "Futures trading activity and predictable foreign exchange market movements," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(5), pages 1023-1041, May.
  10. Wang, Changyun, 2000. "Investor sentiment and return predictability in agricultural futures markets," MPRA Paper 36425, University Library of Munich, Germany, revised Sep 2002.
  11. Nardella, Michele, 2007. "Price efficiency and speculative trading in cocoa futures markets," 81st Annual Conference, April 2-4, 2007, Reading University, Agricultural Economics Society 7970, Agricultural Economics Society.
  12. Holt, Bryce R. & Irwin, Scott H., 2000. "The Effects Of Futures Trading By Large Hedge Funds And Ctas On Market Volatility," 2000 Conference, April 17-18 2000, Chicago, Illinois, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 18935, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  13. Pasquale, Maria & Renò, Roberto, 2005. "Statistical properties of trading volume depending on size," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 346(3), pages 518-528.
  14. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series, National Centre for Econometric Research 102, National Centre for Econometric Research.
  15. Geir Hoidal Bjonnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2003. "Volume and Volatility in the FX Market: Does it matter who you are?," Working Paper, Norges Bank 2003/7, Norges Bank.

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