Volatility and Trading Activity Following Changes in the Size of Future Contracts

TY - JOUR

T1 - Volatility and Trading Activity Following Changes in the Size of Future Contracts

AU - Tse, Yiuman

AU - Bjursell, Johan

AU - Frino, Alex

AU - Wang, George H. K.

N1 - Johan Bjursell, Alex Frino, Yiuman Tse and George H.K. Wang Journal of Empirical Finance , 2010, vol. 17, issue 5, 967-980 Abstract: This paper has two purposes. First, we examine the relationship between daily price volatility and trading activity one year before and after a change in contract size by examining the results of contract splits in the Australian share price index futures and the U.K.

PY - 2010

Y1 - 2010

UR - https://econpapers.repec.org/article/eeeempfin/v_3a17_3ay_3a2010_3ai_3a5_3ap_3a967-980.htm

M3 - Article

VL - 17

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

ER -