Abstract: This study aims to explore what kinds of trades drive price changes in the future market and examine the effects of investors’ choices of trade sizes and trading-time intervals, and order types on uni-directional price volatility. Applying dummy variable regression models, this study examines whether the ratios of the proportion of the cumulative price change to the proportion of the cumulative volume associated with trades in each corresponding categories of trades are the same across different classifications and then compares empirical results with existing theories by testing public information hypothesis, private information and specific market power hypothesis. Furthermore, due to different intraday market conditions, the whole trading time period are divided into three intervals - opening, middle and closing. Unlike previous studies, this study reports on underlying causes for abnormal price change not only in the bull market but also in the bear market. A big difference this study makes is that the interaction effect of each two categories is included in the analysis. In general, results show that public information hypothesis is rejected and price changes may be due to not only inside information, but also some specific market power. There appears to be little understanding in main driving force of future market and their trading patterns. This study is expected to fill the gap. It may have a contribution to regulation authority’s growing understanding of what type of trades move the future market as well as understanding of how to keep fair trading in order.

Key words: Price Change, Trading Pattern, Inside Information