Information, Trading And Volatility : Evidence From Weather Sensitive Markets  

Oleh:

Fleming, Jeff ; Kirby, Chris ; Ostdiek, Barbara

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 6 (Des. 2006), page 2899-2930.
Topik: EVIDENCE; studies; seasonal markets; securities trading; volatility; rates of return
Fulltext: p 2899.pdf (342.78KB)

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

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Isi artikel

We find that trading versus non trading period variance ratios in weather sensitive markets are lower than those in the equity market and higher than those in the currency market. The variance ratios are also substantially lower during periods of the year when prices are most sensitive to the weather. Moreover, the comovement of returns and volatilities for related commodities is stronger during the weather sensitive season, largerly due to stronger comovement during non trading periods. These results are consistent with a strong link between prices and public information flow and cannot be explained by pricing errors or changes in trading activity.

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