Title

Volume information in Nikkei and TOPIX futures transactions

Publication Type

Journal Article

Publication Date

12-2017

Abstract

According to the Kyle (1985) model of informed trading, information in trade size is likely to effect a permanent price impact. However, two prominent structural models in the literature do not include trade size in their framework. In this paper, we present a nesting relationship of major structural models and formulate a generalized model that includes all trade variables. A new measure to quantify the amount of information in the order flow is proposed. Our empirical analysis shows that it is indeed the "surprise" in trade size that contributes significantly in reflecting the price change of Nikkei and TOPIX futures.

Keywords

Market microstructure, volume information, futures market

Discipline

Finance and Financial Management

Research Areas

Finance

Publication

Journal of Financial Studies

Volume

25

Issue

4

First Page

1

Last Page

42

ISSN

1022-2898

Publisher

Taiwan Finance Association

Additional URL

http://www.airitilibrary.com/Publication/alDetailedMesh?DocID=10222898-201507-PP201507020032-PP201507020032-1-42-0035

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