The informational role of open interest in futures markets

This study examines the long-run information role of open interest in futures markets. It is found that open interest of the futures markets for storable commodities shares the same long-run information as the futures prices, but not for the nonstorable futures markets. Furthermore, the futures prices tend to drive open interest for storable commodities in the long run, but not the other way around.

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Year of publication:	2004
Authors:	Yang, Jian ; Bessler, David ; Fung, Hung-Gay
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 11.2004, 9, p. 569-573
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005435196