Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets
研究了八个实物和金融期货市场中交易量、波动率与市场深度之间的关系，发现将交易量分解为预期和未预期部分后，未预期的交易量冲击对波动率影响更大，且正向冲击的影响大于负向冲击，同时大持仓量能缓解波动。
The relations between volume, volatility, and market depth in eight physical and financial futures markets are examined. Evidence suggests that linking volatility to total volume does not extract all information. When volume is partitioned into expected and unexpected components, the paper finds that unexpected volume shocks have a larger effect on volatility. Further, the relation is asymmetric; the impact of positive unexpected volume shocks on volatility is larger than the impact of negative shocks. Finally, consistent with theories of market depth, the study shows large open interest mitigates volatility.