Futures‐Trading Activity and Stock Price Volatility
研究期货交易活动（成交量和持仓量）是否加剧股票价格波动，发现意外的高交易量会推高波动，但可预期的交易活动反而降低波动，且期货合约生命周期与现货波动无关。
ABSTRACT We examine whether greater futures‐trading activity (volume and open interest) is associated with greater equity volatility. We partition each trading activity series into expected and unexpected components, and document that while equity volatility covaries positively with unexpected futures‐trading volume, it is negatively related to forecastable futures‐trading activity. Further, though futures‐trading activity is systematically related to the futures contract life cycle, we find no evidence of a relation between the futures life cycle and spot equity volatility. These findings are consistent with theories predicting that active futures markets enhance the liquidity and depth of the equity markets.