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Durham Research Online
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Trading volume and contract rollover in futures contracts.

Holmes, P. and Rougier, J. (2005) 'Trading volume and contract rollover in futures contracts.', Journal of empirical finance., 12 (2). pp. 317-338.

Abstract

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.

Item Type:Article
Additional Information:
Keywords:Financial futures, Trading volume, Open interest, Rollover.
Full text:Full text not available from this repository.
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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