EconPapers    
Economics at your fingertips  
 

Can exchange seat prices predict financial market volatility?

Taewoo You and Mark E. Holder

Journal of Futures Markets, 2008, vol. 28, issue 12, 1206-1221

Abstract: There is considerable evidence that trading volume and volatility are positively related and that exchange seat prices are largely a function of trading volume. This article examines whether changes in seat prices at the Chicago Board of Trade (where stock index and interest rate futures account for the vast majority of trading volume) are useful in predicting changes in interest rate and stock market volatility. Exponential GARCH and transfer function models are used to demonstrate the power of changes in CBOT seat prices in predicting changes in interest rate and stock market volatility. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1206–1221, 2008

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/

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:wly:jfutmk:v:28:y:2008:i:12:p:1206-1221

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-20
Handle: RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1206-1221