USF St. Petersburg campus Faculty Publications
The dynamic relationship of volatility, volume, and market depth in currency futures markets.
Document Type
Article
Publication Date
1999
ISSN
1042-4431
Abstract
This study examines the dynamic interactions among return volatilities, volume, and market depth for five currency futures markets. We use vector autoregressive analysis (VAR) to identify not only the nature of these relations but also the direction and speed of the information flow between variables. We find that return volatility is subject to strong reversal effects from trading volume and market depth. The results also indicate that the volatility appears to have predictive power on volume but not on market depth. Furthermore, this study finds that volume and depth are not endogenously determined, as their lead-lag relationship is asymmetrical. We also observe an increasing trend of integration between offshore and domestic information that affects the movement of currency futures prices.
Language
en_US
Publisher
Elsevier
Recommended Citation
Fung, H.-G. & Patterson, G.A. (1999). The dynamic relationship of volatility, volume, and market depth in currency futures markets. Journal of International Financial Markets, Institutions & Money, 9, 33-59.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Citation only. Full-text article is available through licensed access provided by the publisher. Published in Journal of International Financial Markets, Institutions & Money, 9, 33-59. Members of the USF System may access the full-text of the article through the authenticated link provided.