{"id":"https://openalex.org/W2085844280","doi":"https://doi.org/10.1080/00036840500400038","title":"Volatility and trading activity in Short Sterling futures","display_name":"Volatility and trading activity in Short Sterling futures","publication_year":2006,"publication_date":"2006-03-07","ids":{"openalex":"https://openalex.org/W2085844280","doi":"https://doi.org/10.1080/00036840500400038","mag":"2085844280"},"language":"en","primary_location":{"id":"doi:10.1080/00036840500400038","doi":"https://doi.org/10.1080/00036840500400038","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036840500400038","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=803324","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049606399","display_name":"Elena Kalotychou","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I180825142","display_name":"City, University of London","ror":"https://ror.org/04489at23","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I180825142","https://openalex.org/I4401726869"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Elena Kalotychou","raw_affiliation_strings":["Risk Institute & Emerging Markets Group, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Risk Institute & Emerging Markets Group, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK","institution_ids":["https://openalex.org/I180825142"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5016836136","display_name":"Sotiris K. Staikouras","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I180825142","display_name":"City, University of London","ror":"https://ror.org/04489at23","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I180825142","https://openalex.org/I4401726869"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Sotiris K. Staikouras","raw_affiliation_strings":["Risk Institute & Emerging Markets Group, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Risk Institute & Emerging Markets Group, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, UK","institution_ids":["https://openalex.org/I180825142"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5016836136"],"corresponding_institution_ids":["https://openalex.org/I180825142"],"apc_list":null,"apc_paid":null,"fwci":2.1141,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.90579927,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":96},"biblio":{"volume":"38","issue":"9","first_page":"997","last_page":"1005"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.989300012588501,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.989300012588501,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.006599999964237213,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0031999999191612005,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/exchange-rate-volatility","display_name":"exchange rate volatility","score":0.6769999861717224},{"id":"https://openalex.org/keywords/trading-volume","display_name":"trading volume","score":0.9819999933242798},{"id":"https://openalex.org/keywords/open-interest","display_name":"open interest","score":0.9380000233650208},{"id":"https://openalex.org/keywords/liquidity","display_name":"liquidity","score":0.699999988079071},{"id":"https://openalex.org/keywords/information-transfer","display_name":"information transmission","score":0.7590000033378601},{"id":"https://openalex.org/keywords/conditional-volatility","display_name":"conditional variance","score":0.6909999847412109},{"id":"https://openalex.org/keywords/garch-effects","display_name":"GARCH effects","score":0.9150000214576721},{"id":"https://openalex.org/keywords/futures-markets","display_name":"futures markets","score":0.35600000619888306}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7998047471046448},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.7145848274230957},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7089197635650635},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6793197393417358},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6235067248344421},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4908319115638733},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4895523488521576},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4783298969268799},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.47008609771728516},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.45284146070480347},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.45034757256507874},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.4388244152069092},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.21560901403427124}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1080/00036840500400038","doi":"https://doi.org/10.1080/00036840500400038","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036840500400038","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},{"id":"mag:3121479965","doi":null,"is_oa":true,"landing_page_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=803324","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"pmh:oai:RePEc:taf:applec:v:38:y:2006:i:9:p:997-1005","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/00036840500400038","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:ktisis.cut.ac.cy:20.500.14279/14672","doi":null,"is_oa":false,"landing_page_url":"https://api.elsevier.com/content/abstract/scopus_id/33744909600","pdf_url":null,"source":{"id":"https://openalex.org/S4306400897","display_name":"Ktisis at Cyprus University of Technology (Cyprus University of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I163151358","host_organization_name":"Cyprus University of Technology","host_organization_lineage":["https://openalex.org/I163151358"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:ktisis.cut.ac.cy:Publications/10488/14672","doi":null,"is_oa":false,"landing_page_url":"https://api.elsevier.com/content/abstract/scopus_id/33744909600","pdf_url":null,"source":{"id":"https://openalex.org/S4306400897","display_name":"Ktisis at Cyprus University of Technology (Cyprus University of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I163151358","host_organization_name":"Cyprus University of Technology","host_organization_lineage":["https://openalex.org/I163151358"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":{"id":"mag:3121479965","doi":null,"is_oa":true,"landing_page_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=803324","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1522592437","https://openalex.org/W1966179084","https://openalex.org/W1996121590","https://openalex.org/W1996313507","https://openalex.org/W1997294971","https://openalex.org/W1998968611","https://openalex.org/W2011057829","https://openalex.org/W2011263548","https://openalex.org/W2014824192","https://openalex.org/W2015855984","https://openalex.org/W2021760340","https://openalex.org/W2022624980","https://openalex.org/W2027874509","https://openalex.org/W2038295726","https://openalex.org/W2038769838","https://openalex.org/W2043725758","https://openalex.org/W2044117118","https://openalex.org/W2050031929","https://openalex.org/W2053134840","https://openalex.org/W2059477033","https://openalex.org/W2086729180","https://openalex.org/W2094392844","https://openalex.org/W2107472019","https://openalex.org/W2110348891","https://openalex.org/W2110752212","https://openalex.org/W2128262725","https://openalex.org/W2133319803","https://openalex.org/W2138103628","https://openalex.org/W2139080644","https://openalex.org/W2153146814","https://openalex.org/W2153271406","https://openalex.org/W2157403008","https://openalex.org/W2571446175","https://openalex.org/W3123899576","https://openalex.org/W4238693110","https://openalex.org/W4307492541"],"related_works":["https://openalex.org/W7096772766","https://openalex.org/W7111420553","https://openalex.org/W2067760178","https://openalex.org/W2254732815","https://openalex.org/W7037408542","https://openalex.org/W2004064119","https://openalex.org/W2319751412","https://openalex.org/W2055763570","https://openalex.org/W7111330191","https://openalex.org/W2004421184"],"abstract_inverted_index":{"The":[0,51,71],"objective":[1],"of":[2,29,34,46,69,88,96,139,169],"the":[3,9,23,27,47,57,65,82,110,129,135,147,180],"present":[4],"study":[5],"is":[6,62,73,172],"to":[7,55,80,93,174,179],"examine":[8,56,81],"interplay":[10],"between":[11],"information,":[12],"trading":[13],"volume":[14,116],"and":[15,37,86,98,117,137],"volatility":[16,67,85],"in":[17,101],"Short":[18],"Sterling":[19],"futures.":[20],"More":[21],"specifically,":[22],"paper":[24],"concentrates":[25],"on":[26,64,128],"role":[28,100,166],"liquidity":[30,148,160],"variables":[31,40,149,161],"as":[32,76,167],"conduits":[33],"information":[35,49,97,171,181],"arrival":[36],"whether":[38],"such":[39],"could":[41],"be":[42,175],"an":[43,91],"exclusive":[44],"platform":[45],"market's":[48],"set.":[50],"analytical":[52],"framework":[53],"employed":[54],"interaction":[58,83],"among":[59,84],"those":[60],"factors":[61],"based":[63,127],"conditional":[66],"family":[68],"techniques.":[70],"approach":[72],"well":[74],"suited":[75],"it":[77],"naturally":[78],"leads":[79],"sources":[87],"information.":[89],"In":[90],"attempt":[92],"identify":[94],"proxies":[95],"their":[99,165],"determining":[102],"volatility,":[103],"four":[104],"main":[105],"conclusions":[106],"have":[107],"emerged.":[108],"First,":[109],"empirical":[111],"findings":[112],"suggest":[113],"that":[114],"both":[115,159],"open":[118],"interest":[119],"exhibit":[120],"a":[121],"positive":[122],"correlation":[123],"with":[124,154,177],"volatility.":[125],"Second,":[126],"current":[130],"methodology,":[131],"one":[132],"can":[133],"observe":[134],"persistence":[136],"importance":[138],"GARCH":[140],"effects":[141],"after":[142],"accounting":[143],"for":[144],"liquidity.":[145],"Third,":[146],"remain":[150],"significantly":[151],"exogenous":[152],"compared":[153],"other":[155],"studies.":[156],"Finally,":[157],"although":[158],"are":[162],"found":[163],"significant,":[164],"vehicles":[168],"transmitting":[170],"proved":[173],"weak":[176],"respect":[178],"itself.":[182]},"counts_by_year":[{"year":2021,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
