P. Holmes
Noise and information in UK futures markets
Holmes, P.; Tomsett, M.
Authors
M. Tomsett
Abstract
This paper examines the extent to which futures price changes are driven by noise and information for three U.K. futures contracts by utilizing T. Andersen's (1996) specification of the mixture of distributions hypothesis. Use of the generalized method of moments approach demonstrates that the link between futures volume and volatility can be attributed to the flow of information. More importantly, it is shown that price movements are dominated by informed rather than noise trading for the FTSE-100, the Long Gilt, and the Brent Oil futures contracts. The results suggest that further regulation based on the notion that noise traders dominate futures trading is unwarranted.
Citation
Holmes, P., & Tomsett, M. (2004). Noise and information in UK futures markets. Journal of Futures Markets, 24(8), 711-731. https://doi.org/10.1002/fut.20104
Journal Article Type | Article |
---|---|
Publication Date | 2004-08 |
Deposit Date | Aug 27, 2008 |
Journal | Journal of Futures Markets |
Print ISSN | 0270-7314 |
Electronic ISSN | 1096-9934 |
Publisher | Wiley |
Peer Reviewed | Peer Reviewed |
Volume | 24 |
Issue | 8 |
Pages | 711-731 |
DOI | https://doi.org/10.1002/fut.20104 |
Public URL | https://durham-repository.worktribe.com/output/1600932 |
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