@article{142b5f31284043bdb46bbf03a0084e61,
title = "The Impact of Trades by Traders on Asymmetric Volatility for Nasdaq‐100 Index Futures",
keywords = "asset pricing, returns, risk management, informed and uninformed traders, asymmetric volatility, nasdaq-100 index futures",
author = "Yiuman Tse and Jullavut Kittiakarasakun and Wang, \{George H. K.\}",
note = "The purpose of this paper is to examine the impact of trades by informed traders and uninformed traders on the asymmetric volatility relation, a stylized fact that has long been puzzling financial economists. Avramov, Chordia, and Goyal's hypothesized that asymmetric volatility, defined as the negative relationship between daily volatility and lagged unexpected return, is governed by the trading dynamics of informed traders and uninformed traders.",
year = "2012",
doi = "10.1108/03074351211239388",
language = "American English",
volume = "38",
journal = "Managerial Finance",
}