Volatility, information, and double auction versus walrasian auction pricing in US and Japanese futures markets

Article

Dhillon, Upinder S., Lasser, Dennis J. and Watanabe, Taiji. 1997. "Volatility, information, and double auction versus walrasian auction pricing in US and Japanese futures markets." Journal of Banking and Finance. 21 (7), pp. 1045-1061.
Article Title

Volatility, information, and double auction versus walrasian auction pricing in US and Japanese futures markets

ERA Journal ID19530
Article CategoryArticle
AuthorsDhillon, Upinder S. (Author), Lasser, Dennis J. (Author) and Watanabe, Taiji (Author)
Journal TitleJournal of Banking and Finance
Journal Citation21 (7), pp. 1045-1061
Number of Pages17
Year1997
Place of PublicationAmsterdam, Netherlands
ISSN0378-4266
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
higher on COMEX than TOCOM throughout the sample period and is attributable to differences in information flows and market micro-structures. Evidence is also provided that exchange volume conveys information both within and across markets, which is consistent with the French and Roll, 1986 (French, K.R,, Roll, R., 1986. Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics 17, 5 26) private-information based rational trading model. Finally, daily variance and autocorrelation estimates within COMEX are consistent with the extant literature on equity markets.

Keywordsfutures; stock market; market micro-structure; volatility
ANZSRC Field of Research 2020350202. Finance
350208. Investment and risk management
380304. Microeconomic theory
Public Notes

File reproduced in accordance with the copyright policy of the publisher/author.

Byline AffiliationsBinghampton University, United States
Binghamton University, United States
Institution of OriginUniversity of Southern Queensland
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