Can exchange seat prices predict financial market volatility?
Article first published online: 17 OCT 2008
© 2008 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 28, Issue 12, pages 1206–1221, December 2008
How to Cite
You, T. and Holder, M. E. (2008), Can exchange seat prices predict financial market volatility?. J. Fut. Mark., 28: 1206–1221. doi: 10.1002/fut.20371
- Issue published online: 17 OCT 2008
- Article first published online: 17 OCT 2008
- Manuscript Received: JUL 2008
- Manuscript Accepted: JUL 2008
There is considerable evidence that trading volume and volatility are positively related and that exchange seat prices are largely a function of trading volume. This article examines whether changes in seat prices at the Chicago Board of Trade (where stock index and interest rate futures account for the vast majority of trading volume) are useful in predicting changes in interest rate and stock market volatility. Exponential GARCH and transfer function models are used to demonstrate the power of changes in CBOT seat prices in predicting changes in interest rate and stock market volatility. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1206–1221, 2008