Volume information in Nikkei and TOPIX futures transactions
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.
Market microstructure, volume information, futures market
Finance and Financial Management
Journal of Financial Studies
Taiwan Finance Association
TEE, Chyng Wen and TING, Christopher.
Volume information in Nikkei and TOPIX futures transactions. (2017). Journal of Financial Studies. 25, (4), 1-42. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/5477