Search Result of "Kritika Lakmas"

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Price Volatility and Trading Activity in Asian Commodity Futures Exchanges

ผู้แต่ง:ImgDr.TANACHOTE BOONVORACHOTE, Associate Professor, ImgKritika Lakmas,




ที่มา:วิทยาสารเกษตรศาสตร์ สาขา สังคมศาสตร์

หัวเรื่อง:ไม่มีชื่อไทย (ชื่ออังกฤษ : Price volatility, trading volume, and market depth in Asian commodity futures exchanges)

ผู้เขียน:Imgดร.ธนโชติ บุญวรโชติ, รองศาสตราจารย์, ImgKritika Lakmas



This paper empirically investigates the impact of trading activity including trading volume and open interest on price volatility in Asian futures exchanges. Trading volume and open interest represent market information for investors. This study uses three different definitions of volatility: (1) daily volatility measured by close-to-close returns, (2) non-trading volatility measured by close-to-open returns, and (3) trading volatility measured by open-to-close returns. The impact of trading volume and open interest on price volatility is investigated. Following Bessembinder and Seguin (1993), volume and open interest are divided into expected and unexpected components. The GARCH (1,1) model is employed using expected and unexpected components of trading activity (volume and open interest) as explanatory variables. The results show a positive contemporaneous relationship between expected and unexpected trading volume and volatility, while open interest mitigates volatility. Policy makers can use these findings to suggest to investors that trading activity (volume and open interest) is a proxy of market information flowing to exchanges, especially unexpected trading activity. New information flowing to exchanges can mostly be noticed in unexpected trading volumes and open interests.

Article Info
Kasetsart Journal of Social Sciences -- formerly Kasetsart Journal (Social Sciences), Volume 037, Issue 1, Jan 16 - Apr 16, Page 53 - 58 |  PDF |  Page 



ดร. ธนโชติ บุญวรโชติ, รองศาสตราจารย์

ที่ทำงาน:ภาควิชาเทคโนโลยีอุตสาหกรรมเกษตร คณะอุตสาหกรรมเกษตร บางเขน

สาขาที่สนใจ:Market Microstructure, Futnres Exchange, Risk Management, Fixed-Income Securities