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Futures trading volume as a determinant of prices in different momentum phases

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dc.contributor.authorHodgson, Allan
dc.contributor.authorMohammed Masih, Abul Mansur
dc.contributor.authorMasih, Rumi
dc.date.accessioned2018-11-05T11:30:51Z
dc.date.available2018-11-05T11:30:51Z
dc.date.issued2004
dc.description.abstractRecent studies contend that trading volume has predictive power for ex ante stock prices, particularly small stocks that do not react quickly to macroeconomic information. This study postulates that a significant amount of macro-information that flows on to stock markets is derived from derivative markets. We examine the impact of short-term futures trading volume and prices on cash stock prices using a case study of 15-min data from the Australian stock index futures market which reports actual trading volume. After applying vector error correction modelling (VECM), variance decomposition and impulse functions, we conclude that futures prices provide a short-term information lead to stock prices that dominates trading volume effects. We also observe asymmetric changes in the impact of trading volume between bull and bear price momentum phases and after large trading volume shocks. These results suggest that, in future, studies on trading volume should control for the cross-correlation impact from derivative prices and the differential impact of trading phases.en_US
dc.identifier.citationHodgson, Allan and Mohammed Masih, Abul Mansur and Masih, Rumi. (2004). Futures trading volume as a determinant of prices in different momentum phases. International Review of Financial Analysis, 15, pp. 68 - 85.en_US
dc.identifier.doidoi:10.1016/j.irfa.2004.10.014
dc.identifier.issn1057-5219
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2988
dc.languageEnglish
dc.language.isoenen_US
dc.publisherElsevier Inc.en_US
dc.rights2004. Elsevier Inc.
dc.sourceSEDONA
dc.subjectFutures trading volumeen_US
dc.subjectStock and futures pricesen_US
dc.subjectMultivariate causalityen_US
dc.subjectPrice momentum phasesen_US
dc.titleFutures trading volume as a determinant of prices in different momentum phasesen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional financeen_US
dlc.subtopicConventional financeen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional financeen_US
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