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Transactions in futures markets: Informed or uninformed?

✍ Scribed by Alex Frino; Jennifer Kruk; Andrew Lepone

Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
267 KB
Volume
27
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

Using a proprietary data set from the Sydney Futures Exchange, this study reconciles an inconsistency in futures microstructure literature. One strand of the literature documents that single trades in futures markets contain information, whereas another strand finds that trade packages in futures markets do not contain information. This study controls for methodological and sample differences in examining the price impact of individual trades and trade packages. We find little evidence that transactions in futures markets contain information. Β© 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1159–1174, 2007

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