Price variability, trading volume and market depth: evidence from the Australian futures market

Vanitha Ragunathan and Albert Peker

Applied Financial Economics, 1997, vol. 7, issue 5, 447-454

Abstract: This study investigates the nature of the relationship between volume, price variability and market depth for four futures contracts traded on the Sydney Futures Exchange. This study is not limited to the determination of the relationship between volatility and volume but also considers the likely effect that open interest, a proxy for market depth, has on volatility. This is achieved by partitioning volume and open interest into expected and unexpected components based on one-step-ahead forecast errors. The results of this study confirm the empirical findings of other studies conducted on this area of futures markets.

Date: 1997
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DOI: 10.1080/096031097333303

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