Four essays on information implication of trades in futures markets.

摘要

My dissertation aims at examining information implications of trades from three perspectives: information transmission (price discovery) in futures markets, short-horizon volatility and intraday return. It contains four chapters.;Chapters One and Two examine price discovery relationships among different trade venues in energy and foreign exchange (FX) markets. In Chapter One, we test information efficiency of E-mini energy contracts that are recently introduced to attract retail traders, and find that the electronic trading mechanism provides the most. In Chapter Two, we examine both FX electronic and floor futures along with the new electronic spot trades. We find that futures markets do not always lead in price discovery, and electronic spot trades can contribute more to floor futures.;Chapter Three proposes a new measure of trading activities-quote flow. We are interested in quotes' additional contribution when other trade variables (e.g., order imbalance, volume) are included, a topic currently ignored in literature. I believe that the quote flows reflect unrealized trading activities. For the FTSE-100 equity futures market from 01/2001 through 10/2004, I find that quotes have strong impacts on short-horizon (i.e., 5-minute) volatility and leverage effects. The contribution from quotes can even replace that of trades in explaining the leverage effect. The intuition is that large negative returns may deter potential buyers unless prices are finally stabilized in extreme selling situations. Such asymmetric quoting behavior of fewer bids yet more asks can cause prices to go down further and induce higher volatility. Our results with quote variables would improve the understanding of linkages between quote and volatility, and the relative importance of trades and quotes.;Chapter Four asks how trade activities (e.g., order imbalance) affect futures returns. Are futures markets faster to reflect trading information and to converge to market efficiency than equity markets? I follow Chordia et al. (2005)'s framework of testing stocks' interval returns to investigate the FTSE-100 equity futures market, and compare my results with those for large stocks. I discover a similar puzzle of short-term (10-minute) efficiency and long-term (30-minute) inefficiency. However, the index futures market converges faster to short-term efficiency than large stocks.