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Volume and Volatility in Foreign Currency Futures Markets

Listed author(s):
  • Bhar, Ramaprasad
  • Malliaris, A G

In this paper we propose and test several hypotheses concerning time series properties of trading volume, price, short and long-term relationships between price and volume and the determinants of trading volume in foreign currency futures. The nearby contracts for British Pound, Canadian Dollar, Japanese Yen, German Mark and Swiss Franc are analyzed in three frequencies i.e. daily, weekly and monthly. We find supportive evidence for all the five currencies that the price volatility is a determinant of the trading volume changes. Furthermore, the volatility of the price process is a determinant of the unexpected component of the changes in trading volume. Also, there is a significant relationship between the volatility of price and the volatility of trading volume changes for three of the five currencies in the daily frequency and for one currency in the monthly frequency. Copyright 1998 by Kluwer Academic Publishers

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Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 10 (1998)
Issue (Month): 3 (May)
Pages: 285-302

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Handle: RePEc:kap:rqfnac:v:10:y:1998:i:3:p:285-302
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