Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York
Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York
复制标题
DOI：
10.1016/j.jcomm.2018.05.001
复制
发表时间：
2018-09-01
影响因子：
4.2
通讯作者：
Xu, Tao
中科院分区：
文献类型：
--
作者：
Iwatsubo, Kentaro;Watkins, Clinton;Xu, Tao
我们研究了信息效率、波动性、成交量和流动性的日内季节性以及它们之间的关系。铂金和黄金在东京和纽约的交易时段重叠，这提供了一个有趣的对比，因为东京是国际上重要的铂金交易场所，但不是黄金交易场所。我们的分析表明，东京的铂金和黄金市场都是以非知情交易为主，而纽约有证据支持非知情交易和知情交易。将全球交易时间划分为东京、伦敦和纽约三个交易日，我们还发现，在东京交易日期间，非知情交易更为普遍，而知情交易在这两个地点的纽约交易日交易中占据主导地位。这一证据表明，同一标的商品在不同交易所的期货市场具有不同的微观结构特征，而知情和不知情的交易者都根据不同时区的市场特征选择交易时间。
We investigate intraday seasonality in, and relationships between, informational efficiency, volatility, volume and liquidity. Platinum and gold, both traded in overlapping sessions in Tokyo and New York, provide an interesting comparison because Tokyo is an internationally important trading venue for platinum but not for gold. Our analysis indicates that both platinum and gold markets in Tokyo are dominated by uninformed trading, while there is evidence supporting both uninformed and informed trading in New York. Separating global trading hours into Tokyo, London and New York day sessions, we also find that uninformed trading is more prevalent during the Tokyo day session while informed trading dominates the New York day session for both metals in both locations. This evidence suggests that futures markets for the same underlying commodity on different exchanges have different microstructure characteristics, while both informed and uninformed traders choose when to trade depending on market characteristics in different time zones.