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Limit order books, uninformed traders and commodity derivatives : insights from the European carbon futures

Rannou, Yves - In: Economic modelling 81 (2019), pp. 387-410

Persistent link: https://www.econbiz.de/10012202116

Disposition sales and stock market liquidity

Choi, Darwin - In: Journal of financial markets 45 (2019), pp. 19-36

Persistent link: https://www.econbiz.de/10012317443

The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures

Kittiakarasakun, Jullavut; Tse, Yiuman; Wang, George H.K. - In: Managerial Finance 38 (2012) August, pp. 752-767

Purpose – The purpose of this paper is to examine the impact of trades by informed traders and uninformed traders on … lagged unexpected return, is governed by the trading dynamics of informed traders and uninformed traders. However, the … index futures data, the asymmetric volatility relation is driven by the selling activity of uninformed traders, particularly …

Persistent link: https://www.econbiz.de/10010611013

The impact of trades by traders on asymmetric volatility for Nasdaq‐100 index futures

Kittiakarasakun, Jullavut; Tse, Yiuman; Wang, George H.K. - In: Managerial Finance 38 (2012) 8, pp. 752-767

Persistent link: https://www.econbiz.de/10014940252

The Impact of Trading Activity by Trader Types on Asymmetric Volatility in Nasdaq-100 Index Futures

Kittiakaraskun, Jullavut; Tse, Yiuman; Wang, George H.K. - College of Business, University of Texas-San Antonio

dynamics of informed and uninformed traders; uninformed trades increase volatility following asset price declines while …

Persistent link: https://www.econbiz.de/10005553361