Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market

Toshiaki Watanabe

Applied Financial Economics, 2001, vol. 11, issue 6, 651-658

Abstract: This article examines the relation between price volatility, trading volume and open interest for the Nikkei 225 stock index futures traded on the Osaka Securities Exchange (OSE) using the method developed by Bessembinder and Seguin (1993). The OSE regulation for trading of the Nikkei 225 futures decreased beginning 14 February 1994. Results for the period beginning 14 February 1994 confirm the findings by Bessembinder and Seguin (1993) of a significant positive relation between volatility and unexpected volume and a significant negative relation between volatility and expected open interest. However, no relation between price volatility, volume and open interest is found for the period prior to 14 February 1994, when the regulation increased gradually. This result provides evidence that the relation between price volatility, volume and open interest may vary with the regulation.

Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031001753266939 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:11:y:2001:i:6:p:651-658

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031001753266939

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().