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Durham Research Online
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Noise and information in UK futures markets.

Holmes, P. and Tomsett, M. (2004) 'Noise and information in UK futures markets.', Journal of futures markets., 24 (8). pp. 711-731.

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.

Item Type:Article
Additional Information:
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1002/fut.20104
Record Created:27 Aug 2008
Last Modified:08 Apr 2009 16:28

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