Volatility, information, and double auction versus walrasian auction pricing in US and Japanese futures markets
Article
Article Title | Volatility, information, and double auction versus walrasian auction pricing in US and Japanese futures markets |
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ERA Journal ID | 19530 |
Article Category | Article |
Authors | Dhillon, Upinder S. (Author), Lasser, Dennis J. (Author) and Watanabe, Taiji (Author) |
Journal Title | Journal of Banking and Finance |
Journal Citation | 21 (7), pp. 1045-1061 |
Number of Pages | 17 |
Year | 1997 |
Place of Publication | Amsterdam, Netherlands |
ISSN | 0378-4266 |
1872-6372 | |
Web Address (URL) | http://www.sciencedirect.com/science/journal/03784266/21/7 |
Abstract | This study empirically examines volatility in US and Japanese commodity futures markets. The US futures market, COMEX, is double auction with continuous trading, whereas the Japanese futures market, TOCOM, was Walrasian with discrete trading until April 1991. We find intraday volatility for gold futures contracts to be significantly |
Keywords | futures; stock market; market micro-structure; volatility |
ANZSRC Field of Research 2020 | 350202. Finance |
350208. Investment and risk management | |
380304. Microeconomic theory | |
Public Notes | File reproduced in accordance with the copyright policy of the publisher/author. |
Byline Affiliations | Binghampton University, United States |
Binghamton University, United States | |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q1q0z/volatility-information-and-double-auction-versus-walrasian-auction-pricing-in-us-and-japanese-futures-markets
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