Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses
This paper examines trading imbalance as well as traditional trading variables in the volume-volatility relation in futures market. Unlike the majority of studies which utilize daily data, our empirical investigation compares an array of intraday frequencies (from five minutes to one hour) with daily interval. The primary analysis is conducted through a series of GARCH tests and the findings are then confirmed by a set of two-stage least square regressions. Since this paper adopts an information-based framework to explain the volume-volatility relation, unexpected trading variables are used to proxy for new market information. Results indicate that different trading imbalance metrics are useful and more significant than traditional trading variables in explaining the volatility relation for all daily and intraday intervals. Empirical findings support the existence of asymmetric information hypothesis at all intervals. On the other hand, mixture of distributions and difference in opinion hypotheses are validated in only some intraday intervals. Moreover, not only are the conclusions from daily observations not the same as the ones from intraday counterparts but also there are differences in the results between longer and shorter intraday intervals.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://business.utsa.edu/wps
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Batabyal, Amitrajeet A. & Beladi, Hamid, 2006.
"International trade and biological invasions: A queuing theoretic analysis of the prevention problem,"
European Journal of Operational Research,
Elsevier, vol. 170(3), pages 758-770, May.
- Beladi, Hamid & Batabyal, Amitrajeet A., 2004. "International Trade And Biological Invasions: A Queuing Theoretic Analysis Of The Prevention Problem," 2004 Annual meeting, August 1-4, Denver, CO 19912, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Parai, Amar K., 1999. "Profit tax and tariff under international oligopoly," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 317-326, September.
- Margolis, Michael & Shogren, Jason, 2004.
"How Trade Politics Affect Invasive Species Control,"
dp-04-07, Resources For the Future.
- Margolis, Michael & Shogren, Jason F. & Fischer, Carolyn, 2005. "How trade politics affect invasive species control," Ecological Economics, Elsevier, vol. 52(3), pages 305-313, February.
- McAusland, Carol & Costello, Christopher, 2004. "Avoiding invasives: trade-related policies for controlling unintentional exotic species introductions," Journal of Environmental Economics and Management, Elsevier, vol. 48(2), pages 954-977, September.
- Amit Batabyal & Peter Nijkamp, 2005.
"On Container Versus Time Based Inspection Policies in Invasive Species Management,"
ERSA conference papers
ersa05p162, European Regional Science Association.
- Batabyal, Amitrajeet A. & Nijkamp, Peter, 2005. "On Container Versus Time Based Inspection Policies in Invasive Species Management," 2005 Annual meeting, July 24-27, Providence, RI 19356, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Edward B. Barbier & Jason F. Shogren, 2004. "Growth with Endogenous Risk of Biological Invasion," Economic Inquiry, Western Economic Association International, vol. 42(4), pages 587-601, October.
- Mark Eiswerth & Wayne Johnson, 2002. "Managing Nonindigenous Invasive Species: Insights from Dynamic Analysis," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 23(3), pages 319-342, November.
- Amit Batabyal & Hamid Beladi & Won Koo, 2005. "Maritime Trade, Biological Invasions, and the Properties of Alternate Inspection Regimes," ERSA conference papers ersa05p164, European Regional Science Association.
- William T. Alpert & Stephen A. Woodbury, 2000. "Introduction," Book chapters authored by Upjohn Institute researchers, in: William T. Alpert & Stephen A. Woodbury (ed.), Employee Benefits and Labor Markets in Canada and the United States, chapter 1, pages 1-12 W.E. Upjohn Institute for Employment Research.
- Horstmann, Ignatius J. & Markusen, James R., 1986. "Up the average cost curve: Inefficient entry and the new protectionism," Journal of International Economics, Elsevier, vol. 20(3-4), pages 225-247, May.
- Batabyal, Amitrajeet A. & Nijkamp, Peter, 2007. "The stochastic arrival of alien species and the number of and the damage from biological invasions," Ecological Economics, Elsevier, vol. 62(2), pages 277-280, April.
- Vishwasrao, Sharmila & Gupta, Srabana & Benchekroun, Hassan, 2007.
"Optimum tariffs and patent length in a model of North-South technology transfer,"
International Review of Economics & Finance,
Elsevier, vol. 16(1), pages 1-14.
- Sharmila Vishwasrao & Srabana Gupta & Hassan Benchekroun, 2004. "Optimum tariffs and patent length in a model of North–South technology transfer," Working Papers 04022, Department of Economics, College of Business, Florida Atlantic University, revised May 2005.
- VISHWASRAO, Sharmila & GUPTA, Srabana & BENCHEKROUN, Hassan, 2004. "Optimum Tariffs and Patent Length in a Model of North-South Technology Transfer," Cahiers de recherche 05-2004, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Paulo Nunes & Jeroen van den Bergh, 2004. "Can People Value Protection against Invasive Marine Species? Evidence from a Joint TC–CV Survey in the Netherlands," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 28(4), pages 517-532, August.
- Richard D. Horan & Charles Perrings & Frank Lupi & Erwin H. Bulte, 2002. "Biological Pollution Prevention Strategies under Ignorance:The Case of Invasive Species," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(5), pages 1303-1310.
- Biswas, Amit K. & Marjit, Sugata, 2007. "Preferential trade and mis-invoicing: Some analytical implications," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 130-138.
- Lars J. Olson & Santanu Roy, 2002. "The Economics of Controlling a Stochastic Biological Invasion," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(5), pages 1311-1316.
- Barbara J. Spencer & James A. Brander, 1982. "Tariff Protection and Imperfect Competition," Working Papers 517, Queen's University, Department of Economics.
- Christopher Costello & Carol McAusland, 2003. "Protectionism, Trade, and Measures of Damage from Exotic Species Introductions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(4), pages 964-975.
When requesting a correction, please mention this item's handle: RePEc:tsa:wpaper:0039. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Eddie Salinas)
If references are entirely missing, you can add them using this form.