Title

Volatility, global information, and market conditions: A study in futures markets.

SelectedWorks Author Profiles:

Gary A. Patterson

Document Type

Article

Publication Date

2001

Date Issued

January 2001

Date Available

August 2014

ISSN

0270-7314

Abstract

This study examined the behavior of return volatility in relation to the timing of information flow under different market conditions influenced by trading volume and market depth. We emphasized information flow during trading and nontrading periods that may represent domestic and offshore information in the global trading of currencies. Test results show that volatility was negatively related to market depth; that is, deeper markets had relatively less return volatility. Additionally, the effect that market depth had on volatility was superseded by information within trading volume. Test results focusing on the timing of information flow reveal that in low-volume markets, the volatility of nontrading-period returns exceeded the volatility of trading-period returns. However, when trading volume was high, this pattern was reversed and conformed to the observations of earlier articles. Our findings proved to be robust across time, different currency markets, and different measures of return volatility. We also observed a trend toward greater integration between foreign and U.S. financial markets; the U.S. market increasingly emphasized information from nontrading periods to supplement information arriving during trading periods.

Comments

Citation only. Full-text article is available through licensed access provided by the publisher. Published in The Journal of Futures Markets, 21(2), 173-196. doi: 10.1002/1096-9934(200102)21:2<173::AID-FUT4>3.0.CO;2-C. Members of the USF System may access the full-text of the article through the authenticated link provided.

Language

en_US

Publisher

John Wiley & Sons, Inc.

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.