The informational role of open interest in futures markets

Jing Yan; David Bessler; Hung Gay Fung

doi:10.1080/13504850410001692795

The informational role of open interest in futures markets

Jing Yan, David Bessler, Hung Gay Fung

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	American English
Journal	Applied Economics Letters
Volume	11
DOIs	https://doi.org/10.1080/13504850410001692795
State	Published - 2004

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Business

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abstract = " 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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AB - 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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M3 - Article

VL - 11

JO - Applied Economics Letters

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The informational role of open interest in futures markets

Abstract

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