VOLATILITY, INFORMATION, AND DOUBLE VERSUS WALRASIAN AUCTION PRICING IN US AND JAPANESE FUTURES MARKETS

This study empirically examines volatility in US and Japanese commodit y futures markets. The US futures market, COMEX, is double auction wit h continuous trading, whereas the Japanese futures market, TOCOM, was Walrasian with discrete trading until April 1991. We find intraday vol atility for gold futures contracts to be significantly higher on COMEX than TOCOM throughout the sample period and is attributable to differ ences in information flows and market micro-structures. Evidence is al so provided that exchange volume conveys information both within and a cross markets, which is consistent with the French and Roll, 1986 (Fre nch, K.R., Roll, R., 1986. Stock return variances: The arrival of info rmation and the reaction of traders. Journal of Financial Economics 17 , 5-26) private-information based rational trading model. Finally, dai ly variance and autocorrelation estimates within COMEX are consistent with the extant literature on equity markets.