Return, Trading Volume, and Market Depth in Currency Futures Markets

Ai-ru (Meg) Cheng and Yin-Wong Cheung
Additional contact information
Ai-ru (Meg) Cheng: University of California, Santa Cruz

No 202008, Working Papers from Hong Kong Institute for Monetary Research

Abstract: We use a class of stochastic volatility models with multiple latent factors to investigate the joint dynamics of return, trading volume, and open interest (a proxy for market depth) in currency futures markets. In accordance with theory, the empirical evidence indicates that there is more than one latent factor affecting these three variables. However, the evidence is ambivalent on the choice between two- and three-latent-factor models. These three variables also display different patterns of information spillovers across currency futures.

Keywords: Stochastic Volatility Model; Multiple Latent Factors; Model Comparison; Volatility Spillovers (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2008-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.hkimr.org/uploads/publication/153/ub_full_0_2_189_hkimr_no20_bw.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.hkimr.org/uploads/publication/153/ub_full_0_2_189_hkimr_no20_bw.pdf [301 Moved Permanently]--> http://www.aof.org.hk/research/HKIMR/uploads/publication/153/ub_full_0_2_189_hkimr_no20_bw.pdf [301 Moved Permanently]--> https://www.aof.org.hk/research/HKIMR/uploads/publication/153/ub_full_0_2_189_hkimr_no20_bw.pdf)

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:hkm:wpaper:202008

Access Statistics for this paper

More papers in Working Papers from Hong Kong Institute for Monetary Research Contact information at EDIRC.
Bibliographic data for series maintained by HKIMR ().