Download or read book The Dynamic Relationship Between Price Volatility, Trading Volume and Market Depth written by Wan Mansor Mahmood and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The study examines the relations between returns, trade volume and market depth for two futures contracts, namely, Stock Index (SI) futures and Crude Palm Oil (CPO) futures traded at the Kuala Lumpur Option and Financial Futures (KLOFFE), and Commodity and Monetary Exchange (COMMEX), respectively. The study looks on the effect of volume as well as open interest, proxy of market depth, on volatility and vice versa. Since both volume and open interest are highly serially correlated, the study partitioned these variables into expected and unexpected component. The results of this study show a positive expected and unexpected volume and market depth on volatility, similar with previous study on futures market.