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Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures

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Author Info
Gerard L. Gannon ()
Abstract

This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for two way trade between market makers (CTI1) and the general public (CTI4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. There is evidence that existing theoretical models of the general public trading behaviour do not explain such behaviour in these very actively traded markets. These effects can depend more on market conditions than what is suggested in theoretical models.

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Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2009_01.

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Date of creation: 05 Aug 2009
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Handle: RePEc:dkn:acctwp:aef_2009_01

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Related research
Keywords: S&P500 Trade Data; Simultaneous Volatility; Market Makers; General Public; Volume; Lead/Lag Volatility;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

This paper has been announced in the following NEP Reports:

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