This paper analysis the intraday relationships between trading volume and price change in the IBEX 35 futures contracts as a result of the arrival of new information to the market using unexpected trading volume as the proxy variable. The analysis focuses initially on the contemporaneous trading volume-price variation relationship finding evidences of a positive, symentric contemporaneous relationship irrespective of the sing in the price change. This result agrees with the conclusions of theoretical models on speculative markets once those models are adapted for the futures markets characteristics. In the second part, our results confirm that the information flow is made up of different components wich have a different impact on price changes, they show that unexpected trading shocks have an asymmetric effect on price changes depending on their sign, further unexpected positive shocks have a larger impact. Finally, the paper proves the existence of dynamic linear relationships between both variables. This linear causality is bidirectional.

Key words: trading volume, price changes, unexpected trading volume, linear causality, futures markets.
JEL classification: C22, C32, G19.