Is Sound Just Noise?

34 Pages Posted: 20 Apr 1999

See all articles by Joshua D. Coval

Joshua D. Coval

Harvard Business School - Finance Unit; National Bureau of Economic Research (NBER)

Tyler Shumway

University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Date Written: November 1998


This Paper analyzes the information content of the ambient noise level in the Chicago Board of Trade's 30-year Treasury Bond futures trading pit. Controlling for a variety of other variables, including lagged price changes, trading volumes, and news announcements, we find that the sound level conveys information which is highly economically and statistically significant. In particular, we find increases in the sound level precede periods of high price volatility and increased trading volumes. Increases in the sound level also presage the placement of block trades and relative increases in customer-driven trading. Our results add to our understanding of the market price formation process and offer important implications for the future of open outcry and floor-based trading mechanisms.

JEL Classification: G13, G14

Suggested Citation

Coval, Joshua D. and Shumway, Tyler, Is Sound Just Noise? (November 1998). EFA 0244; University of Michigan Business School Working Paper No. 98024, Available at SSRN: or

Joshua D. Coval (Contact Author)

Harvard Business School - Finance Unit ( email )

Boston, MA 02163
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Tyler Shumway

University of Michigan at Ann Arbor, The Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States
734-763-4129 (Phone)
734-936-0274 (Fax)


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