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The informative role of trading volume in an expanding spot and futures market

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  • Bhaumik, S.
  • Karanasos, M.
  • Kartsaklas, A.

Abstract

This paper investigates the information content of trading volume and its relationship with range-based volatility in the Indian stock market for the period 1995–2007. We examine the dynamics of the two variables and their respective uncertainties using a bivariate dual long-memory model. We distinguish between volume traded before and after the introduction of futures and options trading. We find that in all three periods the impact of both the number of trades and the value of shares traded on volatility is negative. This result is consistent with the argument that the activity of informed traders is inversely related to volatility when the marketplace has increased liquidity, an increasing number of active investors and high consensus among investors when new information is released. We also find that (i) the introduction of futures trading leads to a decrease in spot volatility, (ii) volume decreases after the introduction of option contracts and (iii) there are significant expiration day effects on both the value of shares traded and volatility series.

Suggested Citation

  • Bhaumik, S. & Karanasos, M. & Kartsaklas, A., 2016. "The informative role of trading volume in an expanding spot and futures market," Journal of Multinational Financial Management, Elsevier, vol. 35(C), pages 24-40.
    • Handle: RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40
    DOI: 10.1016/j.mulfin.2016.03.002
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    More about this item

    Keywords

    Derivatives trading; Emerging markets; Long-memory; Range-based volatility; Value of shares traded;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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