DR. ROBERT T. DAIGLER
Professor of Finance
Florida International University
Visiting Scholar, Stanford University
Visiting Scholar, The University of Strathclyde (Glasgow, Scotland)
Visiting Professor, Helsinki School of Business and Economics: taught Derivatives
Areas of Interest:
Derivatives and Financial Risk Management; Investments; Multivariate Statistics
"The Impact of Trader Type on the Futures Volatility-Volume Relation," Robert T. Daigler and Marilyn Wiley, The Journal of Finance, December, 1999, Vol. 54 No. 6, pp. 2297-2316.
"A Futures Duration-Convexity Hedging Method," Robert T. Daigler and Mark Copper, Financial Review, November 1998, Vol. 33 No. 4, pp. 61-80.
"Volume Relationships between Types of Traders in the Financial Futures Markets," Marilyn Wiley and Robert T. Daigler, The Journal of Futures Markets, February 1998, Vol. 18, No. 1, pp. 91-113.
"Intraday Futures Volatility and Theories of Market Behavior," Robert T. Daigler, The Journal of Futures Markets, February 1997, Vol. 17 No. 1, pp. 45-74.
"Simultaneously Hedging Bond Duration and Convexity," Robert T. Daigler and Mark Copper, Derivatives Quarterly, Fall 1998, Vol. 5 No. 1, pp. 50-58.
"The Usefulness of the Web in Obtaining Derivatives Information," Robert T. Daigler, Derivatives Quarterly, Fall 1997, Vol. 4 No. 1, pp. 51-57.
"Biases Associated with International Stock Market Index and Predictability Studies," Robert T. Daigler and A. T. Aburachis, The Journal of Multinational Financial Management, 1996, Vol. 6 Nos. 2/3, pp. 69-80.
"Bond Futures: Pricing Issues and Using the Delivery Options," Robert T. Daigler, Derivatives Risk Management, forthcoming.
"Derivatives on the Internet," Robert T. Daigler, Derivatives Risk Management, May 1997, pp. 1D1-1D11.
"Risk Management Tools: Hedging and Cross Hedging Strategies for Futures Markets," Robert T. Daigler, Derivatives Risk Management, January 1996, pp. 3A1-3A16.
THE IMPACT OF TRADER TYPE ON THE FUTURES VOLATILITY-VOLUME RELATIONSHIP
We examine the volatility-volume relationship in futures markets using a unique data set of volume segregated into four different types of traders. This breakdown of total volume allows us to show that the positive volatility-volume relationship found in earlier studies is driven by the "general public." We categorize the general public as being distant from the trading floor and therefore lacking private information. Conversely, there is often an inverse volatility-volume relationship for clearing members and other floor traders, suggesting that closeness to the trading floor and the resulting superior information may be negatively associated with volatility. Moreover, unexpected volume has a stronger effect on the behavior of volatility than expected volume. This is consistent with the hypothesis that it is the dispersion of beliefs of the general public rather than liquidity hedging that creates volatility. Models using trader category volume have superior explanatory power compared to those using only total volume, especially when the high-low range is employed as the measure of volatility.
BOOKS:
Financial Futures Markets: Concepts, Evidence, and Applications. Harper Collins, 1993, 500 pages.
Financial Futures and Options Markets: Concepts and Strategies. Harper Collins, 1994, 635 pages.
Managing Risk with Financial Futures. Probus Publishing, 1993, 398 pages.
Advanced Options Trading. Probus Publishing, 1994, 324 pages.
Working Papers
Recent Working Papers
"Tests of the Heath-Jarrow-Morton Interest Rate Hypotheses Under Path Independence," Gerald O. Bierwag and Robert T. Daigler.
"A Bivariate GARCH Approach to the Futures Volume-Volatility Issue,"Marilyn Wiley and Robert Daigler.
"The Relationship of Volume by Trader Type to the Implied Volatility Skew," Robert T. Daigler, Marilyn Wiley and Michael Sullivan.
Older Working Papers
"A Microstructure Analysis of Volatility Transmission Across Stock Index Futures," Robert T. Daigler and Anthony F. Herbst.
"Eurodollar Futures Pricing," Robert T. Daigler.
"Stock Index Futures Arbitrage Using Intraday Data," Robert T. Daigler.
"Hedge Ratio Instability for Currency Futures," Robert T. Daigler.
"Yen Futures: Examining Hedging Effectiveness Bias and Cross Currency Hedging Results," Robert T. Daigler.
"Comparing Hedge Ratio Methodologies for Fixed-Income Instruments," Robert T. Daigler.
"Factors Affecting T-bond Hedge Ratio Instability," Robert T. Daigler, Edward Newman, and Michael Smyser.
"The Speculative and Hedging Structure of Financial Futures Contracts," Robert T. Daigler.
"Cross Currency Hedging Results: Implications for EEC Unification and LDC Trade," Robert T. Daigler.
"Interest Rate Swaps and Financial Institutions," Robert T. Daigler.
"The Effect of Unstable Basis Risk on the Hedging Effectiveness of T-Bond Futures," Robert T. Daigler.
"Basis and the Minimum Variance Hedge," Robert T. Daigler.
"The Effect of Additive Rate Shocks on Duration and Immunization: Examining the Theory," Robert T. Daigler and Michael Smyser.
"Stock Index Futures: Hedging or Speculative Markets," Robert T. Daigler
"Hostile Takeovers: A Multivariate Analysis," Robert T. Daigler and Richard Wahrburg.
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Last updated: 11/14/99
Send comments to: Dr. Robert T. Daigler mailto: daiglerr@fiu.edu
or mail to: Department of Finance BA206, College of Business, Florida International University, Miami, Fla. 33199
URL: http://www.fiu.edu/~daiglerr/papers.htm
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