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Abstract

This paper investigates the trading profits and the informational role of trading volume in the frozen pork bellies futures market for reporting traders from the period 1985 through 1994. More than 95% of reporting traders make statistically zero profits on a daily basis. About half of the remaining reporting traders make positive profits and the other half percent earn negative profits consistently. Given the evidence on the examination of the relationship between trading volume and daily profits for winning traders, there is little support for the theoretical finding that traders who use information contained in trading volume do better than traders who do not. Hence, it is not clear whether trading volume provides useful information for frozen pork bellies traders to earn consistently positive returns on a daily basis.

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