Return-volume relationship in the Ibex 35 futures market: A non-parametric approach

This paper provides empirical evidence on the contemporaneous relationship between trading volume and return in the Spanish stock index futures market. A non-parametric approach is used to estimate the density function of returns conditions to trading volume. Our findings can be summarised as follow...

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Bibliographic Details
Published in:Journal of derivatives & hedge funds 2003-04, Vol.9 (2), p.150
Main Authors: Illueca, Manuel, Lafuente, Juan Angel
Format: Article
Language:English
Subjects:
Asymmetry
Correlation analysis
Futures market
Futures trading
Hypotheses
Investments
Investors
Market prices
Rates of return
Securities trading volume
Studies
Volatility
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Summary:This paper provides empirical evidence on the contemporaneous relationship between trading volume and return in the Spanish stock index futures market. A non-parametric approach is used to estimate the density function of returns conditions to trading volume. Our findings can be summarised as follows: 1. no significant link appears between trading volume and average futures returns, 2. a positive relationship is observed between price volatility and trading activity, and 3. the foregoing relationship is due to the arrival of new information or unexpected trading activity.
ISSN:1753-9641
1753-965X