Alternative Title
日經與東證期貨之交易量資訊
Publication Type
Journal Article
Version
submittedVersion
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 | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Financial Studies
Volume
25
Issue
4
First Page
1
Last Page
43
ISSN
1022-2898
Identifier
10.6545/JFS.2017.25(4).1
Publisher
Taiwan Finance Association
Citation
TEE, Chyng Wen and TING, Christopher.
Volume information in Nikkei and TOPIX futures transactions. (2017). Journal of Financial Studies. 25, (4), 1-43.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5477
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.6545/JFS.2017.25(4).1