The impact of information flow and trading activity on gold and oil futures volatility

摘要: There is a long history of research into the impact trading activity and information on financial market volatility. Based 10 years unique data news items relating to gold crude oil broadcast over Reuters network, this study has two objectives. It investigates shocks in traders positions which are unrelated flows realized Additionally, extent volume flow as well sentiment inherent affects volatility also examined. Both rate found influence volatility, with unexpected positive arrival, negative exhibiting largest impacts. While related measures activity, their decreases after accounted for indicating that non-negligible component response public flow. After controlling level flow, net various types play no role, implying single group lead these markets being more volatile.