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• W2272788330 abstract "Using actual over the counter (OTC) foreign exchange derivative trading data, this paper studies the relationship between trading volume and volatility for the OTC market and futures markets for the Canadian dollar over the period January 1998 to September 2005. Pair-wise regressions are introduced to test the informational advantage hypothesis for foreign exchange futures contracts relative to OTC derivatives contracts. Trading activity in exchanged traded futures market leads the OTC markets, implying that there are informational advantages to futures markets. Moreover, consistent with greater (dampened) responsiveness of the futures (OTC) market to changes in market-wide (idiosyncratic) risk, trading volume in the OTC (futures) market shows uni-(bi-) directional causality to the volatility to both spot and futures markets. Finally, the OTC and fittures markets behave assubstitutes." @default.
• W2272788330 created "2016-06-24" @default.
• W2272788330 creator A5024003612 @default.
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• W2272788330 date "2007-01-01" @default.
• W2272788330 modified "2023-09-23" @default.
• W2272788330 title "Volume-Volatility Interactions between Exchange Traded Derivatives and OTC Derivatives" @default.
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• W2272788330 hasPublicationYear "2007" @default.
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