Title : Speculators versus Hedgers: Evidence from Treasury Futures VAR Analysis of the Volume-Volatility Relations
Does trading by hedgers or speculators destabilize the Treasury futures market? If so, how do they destabilize the market? This paper examines the empirical relations of volume and volatility—central to market microstructure study—of Treasury futures contracts traded at the Chicago Board of Trade. With some mixed results, it can be roughly concluded that speculators destabilize the Treasury futures market, causing a more turbulent trading pattern as evident in the increased price volatility. Significance relation can not be said of the hedgers and price volatility; evidence at best suggests a weak relation between hedging activities and decreased price volatilities (a market being less volatile because of hedgers). To my knowledge, this is the first study that applies the VAR (vector autoregressive) technique to Treasury futures trading; with an explicit focus on individual futures contracts, this study constructs two types of trading activity series (―aggregate‖, ―active contract‖) and compares results. Moreover, GARCH volatility specifications are comprehensively tested and GARCH(1,1)—commonly-used in analyzing currency futures markets—is conveniently arrived at for future cross-comparisons. A promise of validating or differentiating an economic reasoning with GARCH volatility (versus historical and intra-day volatilities) should be noted.
Keywords: volume-volatility relation, vector autoregression (VAR), GARCH volatility, Treasury futures trading, hedging, speculation, market
microstructure
학회소식
학회소식
[2010년 제 4차] Speculators versus Hedgers
작성자 : 관리자
조회수 : 883
게시일 :
2010-12-09