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- W2020115551 abstract "This article examines the relation between price volatility, trading volume and open interest for the Nikkei 225 stock index futures traded on the Osaka Securities Exchange (OSE) using the method developed by Bessembinder and Seguin (1993). The OSE regulation for trading of the Nikkei 225 futures decreased beginning 14 February 1994. Results for the period beginning 14 February 1994 confirm the findings by Bessembinder and Seguin (1993) of a significant positive relation between volatility and unexpected volume and a significant negative relation between volatility and expected open interest. However, no relation between price volatility, volume and open interest is found for the period prior to 14 February 1994, when the regulation increased gradually. This result provides evidence that the relation between price volatility, volume and open interest may vary with the regulation." @default.
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- W2020115551 date "2001-12-01" @default.
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- W2020115551 title "Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market" @default.
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- W2020115551 doi "https://doi.org/10.1080/096031001753266939" @default.
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