This paper employs a unique data set to investigate the total price, liquidity and information effects of large institutional trades versus individual trades on three futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire...

This paper applies a nonparametric method based on realized and bipower variations calculated from intraday data to identify jumps in daily futures prices of crude oil, heating oil and natural gas contracts traded on the New York Mercantile Exchange. The sample period of our intraday data covers...

The Volume-Synchronized Probability of Informed Trading (VPIN) metric is proposed by Easley et al. (2011, 2012) as a real-time measure of order flow toxicity in an electronic trading market. This paper examines the performance of VPIN around inventory announcements and price jumps in crude oil...

This study shows that investor sentiment plays an important role in affecting the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid-ask spread on both the spot and futures markets,...