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- W2017911436 abstract "Purpose – The purpose of this paper is twofold. The first is to estimate the correlation between market activity and volatility on an exchange that does not use continuous auctions to find prices. The second is to estimate the sensitivity of that relationship to differences in opinions across traders regarding asset value.Design/methodology/approach – Both objectives are accomplished by using seven years of trader‐level data from the Tokyo Grain Exchange, which uses rapid sequences of Walrasian tâtonnement auctions to discover prices. On the TGE, only one futures contract trades at any given time and all of a commodity's futures contracts are auctioned in a rapid sequence, with only seconds between a sequence's auctions. The results are interpreted under the hypothesis that this design causes traders' beliefs to become more accurate and more uniform as a sequence progresses.Findings – Intraday volume is u‐shaped while intraday volatility is downward sloping. The volume–volatility link is positive and stay..." @default.
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- W2017911436 date "2009-07-31" @default.
- W2017911436 modified "2023-09-27" @default.
- W2017911436 title "Differences in opinions and the volatility‐volume relationship on the Tokyo Grain Exchange" @default.
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- W2017911436 doi "https://doi.org/10.1108/00021460910978670" @default.
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