Can exchange seat prices predict financial market volatility?
| Autor: | Taewoo You, Mark E. Holder |
|---|---|
| Rok vydání: | 2008 |
| Předmět: |
Economics and Econometrics
Autoregressive conditional heteroskedasticity media_common.quotation_subject Financial market Monetary economics Implied volatility computer.software_genre General Business Management and Accounting Stock market index Interest rate Accounting Volatility smile Economics Algorithmic trading Volatility (finance) computer Finance media_common |
| Zdroj: | Journal of Futures Markets. 28:1206-1221 |
| ISSN: | 1096-9934 0270-7314 |
| DOI: | 10.1002/fut.20371 |
| Popis: | There is considerable evidence that trading volume and volatility are positively related and that exchange seat prices are largely a function of trading volume. This article examines whether changes in seat prices at the Chicago Board of Trade (where stock index and interest rate futures account for the vast majority of trading volume) are useful in predicting changes in interest rate and stock market volatility. Exponential GARCH and transfer function models are used to demonstrate the power of changes in CBOT seat prices in predicting changes in interest rate and stock market volatility. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1206–1221, 2008 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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