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Volume and Volatility in Foreign Currency Futures Markets



  • Ramaprasad Bhar
  • A. G. Malliaris


In this chapter, 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.

Suggested Citation

  • Ramaprasad Bhar & A. G. Malliaris, 2015. "Volume and Volatility in Foreign Currency Futures Markets," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 5, pages 103-123, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814566926_0005

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    Cited by:

    1. Ekin Tokat & Hakkı Arda Tokat, 2010. "Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(4), pages 92-104, January.
    2. A. Malliaris & Mary Malliaris, 2013. "Are oil, gold and the euro inter-related? Time series and neural network analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 1-14, January.
    3. Chang, Jui-Chuan Della & Chang, Kuang-Liang, 2018. "The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 15-28.
    4. Robert Daigler, 2007. "Spread volume for currency futures," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 31(1), pages 12-19, March.
    5. Ghulam Sarwar, 2004. "The informational role of option trading volume in the S&P 500 futures options markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1197-1210.
    6. Jarita Duasa, 2004. "The Malaysian Balance of Payments:Keynesian Approach Versus Monetary Approach," Computing in Economics and Finance 2004 26, Society for Computational Economics.
    7. Biswal, P.C. & Jain, Anshul, 2019. "Should central banks use the currency futures market to manage spot volatility? Evidence from India," Journal of Multinational Financial Management, Elsevier, vol. 52.

    More about this item


    Futures Markets; Pricing; Risk Management; Futures Trading; Stock Indexes; Interest Rates; Futures Prices; Portfolio Theory; Hedge Funds; Foreign Exchange;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions


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