Holmes, P. and Rougier, J. (2005) 'Trading volume and contract rollover in futures contracts.', Journal of empirical finance., 12 (2). pp. 317-338.
Futures trading volume data display strong quarterly seasonality due to the ‘rolling over’ of positions close to the expiry date of the near contract. This undermines the use of volume as a proxy for information arrival. By making explicit the relationship between trading volume and change in open interest, we provide an upper bound for this rollover. Empirical analysis of the S&P500, the UK Long Gilts and the Brent Crude contracts shows that our upper bound can be used to remove expiry-related seasonality from trading volume data.
|Keywords:||Financial futures, Trading volume, Open interest, Rollover.|
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|Publisher Web site:||http://dx.doi.org/10.1016/j.jempfin.2004.01.003|
|Record Created:||20 Feb 2009|
|Last Modified:||08 Apr 2009 16:28|
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