Intraday futures volatility and theories of market behavior

Journal of Futures Markets

Volumn 17, Issue 1, 1997, Pages 45-74

  Daigler, Robert T ^a,b  

^a FLORIDA INTERNATIONAL UNIVERSITY   (United States)

^b FLORIDA INTERNATIONAL UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031539541     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199702)17:1<45::AID-FUT3>3.0.CO;2-G     Document Type: Article

References (13)

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2. Atkins, A. B., and Basu, S. (1995): "The Effect of After-Hours Announcements on the Intraday U-Shaped Volume Pattern," Journal of Business Finance and Accounting, 22:789-809.
3. Barclay, M., Litzenberger, R., and Warner, J. (1990): "Private Information, Trading Volume, and Stock Return Variances," Review of Financial Studies, 3:233-254.
4. Brock, W. A., and Kleidon, A. W. (1992): "Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks," Journal of Economic Dynamics and Control, 16:451-489.
5. Chan, K., Chan, K. C., and Karolyi, G. A. (1991): "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, 4:657-684.
6. Chang, E. C., Jain, P. C., and Locke, P. R. (1995): "Standard & Poor's 500 Index Futures Volatility and Price Changes Around the New York Stock Exchange Close," Journal of Business, 68:61-84.
7. Chang, E. C., and Schachter, B. (1992): "Interday Variations in Volume, Variance and Participation of Large Speculators," Working Paper, University of Maryland.
8. Ederington, L. H., and Lee, J. H. (1993): "How Markets Process Information: New Releases and Volatility," Journal of Finance, 48:1161-1191.
9. Ekman, P. D. (1990): "Intraday and Weekly Patterns in the IMM Eurodollar Futures Market: Marketplace and Marketwide Effects," Working Paper, Kansas State University.
10. Ekman, P. D. (1992): "Intraday Patterns in the S&P 500 Index Futures Market," The Journal of Futures Markets, 12:365-382.
11. Ferguson, M., Mann, S. C., and Schneck, L. (1993): "Concentrated Trading in the Foreign Exchange Futures Markets: Discretionary Liquidity Trading or Market Closure?", Working Paper, Commodity Futures Trading Commission.
12. Foster, F. D., and Viswanathan, S. (1990): "A Theory of the Interday Variations in Volume, Variance and Trading Costs in Security Markets," Review of Financial Studies, 3:593-624.
13. Foster, F. D., and Viswanathan, S. (1993): "Variations in Volumes, Variances, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, 48:187-212.