The dynamic relationship of volatility, volume, and market depth in currency futures markets.

SelectedWorks Author Profiles:

Gary A. Patterson

Document Type


Publication Date


Date Issued

January 1999

Date Available

August 2014




This study examines the dynamic interactions among return volatilities, volume, and market depth for five currency futures markets. We use vector autoregressive analysis (VAR) to identify not only the nature of these relations but also the direction and speed of the information flow between variables. We find that return volatility is subject to strong reversal effects from trading volume and market depth. The results also indicate that the volatility appears to have predictive power on volume but not on market depth. Furthermore, this study finds that volume and depth are not endogenously determined, as their lead-lag relationship is asymmetrical. We also observe an increasing trend of integration between offshore and domestic information that affects the movement of currency futures prices.


Citation only. Full-text article is available through licensed access provided by the publisher. Published in Journal of International Financial Markets, Institutions & Money, 9, 33-59. Members of the USF System may access the full-text of the article through the authenticated link provided.





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.