Is Sound Just Noise ?  

Oleh:

Coval, Joshua D. ; Shumway, Tyler

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 5 (2001), page 1887-1910.
Topik: sound; noise; bond markets; forecasting; volatility; studies; regression analysis
Fulltext: p 1887.pdf (165.35KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We analyze the information content of the ambient noise level in the chicago board of trade's 30 year treasury bond futures trading pit. Controlling for a variety of other variables, including lagged priced changes, trading volumes, and news announcements, we find that the sound level conveys information which is highly economically and statistically significant. Specifically, changes in the sound level forecast changes in the cost of transacting. Following a rise in the sound level, prices become more volatile, depth declines and information asymmetry increases. Our results offer important implications for the future of open out cry and floor based trading mechanisms.

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