Kao, Erin H.; Fung, Hung-Gay - In: International Review of Economics & Finance 21 (2012) 1, pp. 195-209
In this paper we examine the relationship between intraday return volatility and volume of trading for Japanese yen futures, euro FX futures, and E-mini S&P 500 futures traded on a 24-hour GLOBEX trading system in six time zones. The results support the mixture-of-distribution hypothesis (MDH),...