Order flow and volatility: An empirical investigation

Anne Opschoor, Nick Taylor, Michel van der Wel () and Dick van Dijk

Journal of Empirical Finance, 2014, vol. 28, issue C, 185-201

Abstract: We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S. Treasury bond futures data, we find a statistically and economically significant relationship between the absolute value of order flow and volatility. Moreover, this relationship is robust, inter alia, to a number of factors including the introduction of liquidity effects, use of data measured over a different frequency, and market conditions.

Keywords: Information; Order flow; Macroeconomic announcements; Treasury futures (search for similar items in EconPapers)
JEL-codes: E44 G14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:28:y:2014:i:c:p:185-201

DOI: 10.1016/j.jempfin.2014.07.002

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