Trading Mechanisms and Price Volatility: Spot Versus Futures
利用主要市场指数及其期货的日内数据，比较现货与期货价格的波动性，发现日内波动模式并非源于交易机制差异，且期货价格在单位价格变动速度上比现货更波动。
This paper compares the volatility of spot prices with that of futures prices using two estimators of volatility, natural and temporal in an attempt to compare two different trading mechanisms, dealers market versus clearing auction market.Using the intraday data of the Major Market Index and its futures prices, we show that the well-known volatility patterns during the day are not necessarily due to the different trading mechanisms.We also show that futures prices may be said to be more volatile than spot prices in terms of how quickly the price moves beyond a given unit price level, rather than in terms of how much the price changes during a given unit time interval.