The Impact of Trader Type on the Futures Volatility‐Volume Relation
利用按交易者类型分类的成交量数据，发现期货市场的正波动率-成交量关系主要由远离交易大厅、缺乏订单流信息的公众交易者驱动，而能观察订单流的清算会员和场内交易者则往往降低波动率。
ABSTRACT We examine the volatility‐volume relation in futures markets using volume data categorized by type of trader. We find that the positive volatility‐volume relation is driven by the general public, a group of traders who are distant from the trading floor and therefore without precise information on order flow. Clearing members and floor traders who observe order flow often decrease volatility. Our findings are consistent with Shalen's (1993) hypothesis that uninformed traders who cannot differentiate liquidity demand from fundamental value change increase volatility.