Department of Economics and Business Economics

Order flow and volatility: An empirical investigation

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Anne Opschoor, Tinbergen Institute, Netherlands
  • Nick Taylor, University of Bristol, Unknown
  • Michel van der Wel
  • Dick van Dijk, Erasmus University Rotterdam, Netherlands

We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S. Treasury bond futures data, we find a statistically and economically significant relationship between the absolute value of order flow and volatility. Moreover, this relationship is robust, inter alia, to a number of factors including the introduction of liquidity effects, use of data measured over a different frequency, and market conditions.

Original languageEnglish
JournalJournal of Empirical Finance
Volume28
Pages (from-to)185-201
Number of pages17
ISSN0927-5398
DOIs
Publication statusPublished - 1 Jan 2014

    Research areas

  • Information, Macroeconomic announcements, Order flow, Treasury futures

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