INTERDAY VARIATIONS IN VOLUME, VARIANCE AND PARTICIPATION OF LARGE SPECULATORS

We use data uniquely available from the Commodity Futures Trading Comm ission (CFTC) to document the intraweek trading patterns of large spec ulators in five futures markets. These markets include futures traded against the Standard and Poor's 500 stock index, Treasury Bonds, gold, corn, and soybeans. We also examine the influence of large speculator trades on the patterns of volume and volatility for the contracts in our sample. Though we detect the familiar U-shaped and inverted U-shap ed patterns across weekdays for volatility and aggregate volume, the a ssociation between volume and volatility becomes stronger when we sepa rate large speculator volume from volume associated with other traders . The coefficient on large speculator volume is much larger than the c oefficient on other volume in these regressions. Compared with total v olume, large speculator volume is greater on Mondays than on the other days of the week in all five markets. (C) 1997 Elsevier Science B.V.