The effect of net positions by type of trader on volatility in foreign currency futures markets

Wang, Chang‐Yun

doi:10.1002/fut.10021

Cited by 67 publications

(65 citation statements)

References 29 publications

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“…2 Some studies also examine the relation between volatility and trading by investor type in futures markets where daily data for trading by several investor groups is available (Bessembinder and Seguin, 1993;Daigler and Wiley, 1999;Wang, 2002). Our focus in this study is on stock markets.…”

Section: Introductionmentioning

confidence: 99%

Stock-return volatility and daily equity trading by investor groups in Korea

Umutlu

Shackleton

2015

Pacific-Basin Finance Journal

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We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles can explain the potential distinct volatility effects of these investor groups. For large stocks, we find that whether a trade is a purchase or a sale and whether it is a contrarian or a momentum trade does not play a role in the relation between volatility and trading. It is the trading of informed institutional investors against non-informed individual investors that drives volatility and produces a negative volatility effect. We further show that net foreign trading has a non-decreasing impact on volatility. Our results are robust to alternative measures of volatility and obtained after controlling for a Monday effect, volatility persistency, total volume and lagged stock returns.

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Section: Introductionmentioning

confidence: 99%

Stock-return volatility and daily equity trading by investor groups in Korea

Umutlu

Shackleton

2015

Pacific-Basin Finance Journal

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“…There is evidence that documented a positive relation between volume and volatility for different stock index futures at different frequencies of data. (See, for example, Kawaller et al (1994), and Gannon (1995) for intraday data, and Raghunathan and Peker (1997), ap Gwilym et al (1999), Wang and Yau (2000), Watanabe (2001), and Pati (2008) for daily data, and finally Wang (2002) for weekly data.) 1 There are also studies that indicate that lagged volume is related to volatility as well.…”

Section: Review Of Literaturementioning

confidence: 99%

Open and Closed Positions and Stock Index Futures Volatility

2011

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In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that daytraders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.

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“…Many studies have analyzed the positions of traders in commodity futures markets (Chatrath et al, 1997;Roon et al, 2000;Wang, 2002;Weiner, 2002;Wang, 2003;Klitgaard and Weir, 2004;Sanders et al, 2004;Moulton, 2005;Till, 2009;Yung and Liu, 2009;Irwin and Sanders, 2010;Sanders and Irwin, 2010;Sanders and Irwin, 2011;Stoll and Whaley, 2011;Tokic, 2011). These studies usually test for the relationships between the traders' positions and the price/volatility of the underlying commodity futures contracts.…”

Section: Introductionmentioning

confidence: 99%