Findings from National Chi Nan University in the Area of Derivatives Research Reported (The price discovery of day trading activities in futures market)
By a News Reporter-Staff News Editor at Journal of Mathematics -- Research findings on Derivatives Research are discussed in a new report. According to news reporting originating in Nantou, Taiwan, by VerticalNews journalists, research stated, "Access to information is necessary for market transparency. However, contrary to trading volume and open interest, information related to day trading activities is rarely available."
The news reporters obtained a quote from the research from National Chi Nan University, "By incorporating unexplored day trading volume in the literature, this paper demonstrates that both the expected open interest and expected day trading volume are consistently and positively correlated with returns, but that one-lagged day trading volume is negatively correlated with futures returns. Meanwhile, both expected and unexpected day trading volume are negatively correlated with volatility, suggesting that arbitrage activities related to unexpected day trading volume may accelerate the movement of futures prices to a new equilibrium. Moreover, open interest provides liquidity but increases volatility."
According to the news reporters, the research concluded: "Finally, we strongly suggest that day trading transaction information be released by futures exchanges to achieve greater transparency."
For more information on this research see: The price discovery of day trading activities in futures market. Review of Derivatives Research, 2014;17(2):217-239. Review of Derivatives Research can be contacted at: Springer, 233 Spring St, New York, NY 10013, USA. (Springer - www.springer.com; Review of Derivatives Research - www.springerlink.com/content/1380-6645/)
Our news correspondents report that additional information may be obtained by contacting M.H. Chen, Natl Chi Nan Univ, Dept. of Banking & Finance, Puli 545, Nantou, Taiwan.
Keywords for this news article include: Asia, Nantou, Taiwan, Derivatives Research
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