Determinants of trading volume in futures markets ljintrk

Determinants of trading volume in futures markets

15.10.2020

Fulham72089

Options or futures contract trading volume can only increase while open interest can either increase or decrease. While trading volume indicates the number of contracts that have been bought or sold, open interest identifies the number of contracts that are currently held. Coverage of premarket trading, including futures information for the S&P 500, Nasdaq Composite and Dow Jones Industrial Average. Economic determinants of trading volume in futures markets. Author & abstract; Download; Abstract. No abstract is available for this item. Suggested Citation. Malliaris, A. G. & Urrutia, Jorge L., 1991. "Economic determinants of trading volume in futures markets," Economics Letters RePEc working paper series dedicated to the job market Nonetheless, an analysis of trading activity observed on SSF markets after 2005 reveals that both trading volume and open interest differ considerably for various stocks. It suggests that the key to understanding SSF market can lie in the other properties of underlying and the specification of a futures contract. Coverage of premarket trading, including futures information for the S&P 500, Nasdaq Composite and Dow Jones Industrial Average.

study includes daily future close prices, trading volume & open interest as major components or determinants in futures market for Nifty Index & 25 select stocks

study includes daily future close prices, trading volume & open interest as major components or determinants in futures market for Nifty Index & 25 select stocks Analysis of Trading Volume and Liquidity. Review of Futures Markets, 14(3), 327- 348. Furqan, M., & Mirza, N. (2015). Motives Our main result is volatility in China's Shanghai gold futures market resulting dollar volatility are the two main determinants of low-frequency gold volatility. Volume 2015 |Article ID 646239 | 8 pages | https://doi.org/10.1155/2015/646239

for a set of crude oil-market specific (convenience yield, consumption, production) and oil-futures market specific (open interest, trading volume) determinants.

He further suggests that the volume of trade in the market should be positively related to the level of inventory. To our knowledge, his theoretical claim has never In this paper, we test first, the hypothesis that the volume of trade in futures markets follows a random walk process. Next, we examine the role of several monthly 19 Jan 2020 Futures traders can look to trading volume for important insights that of the market conditions, one must consider as many factors as possible. The importance of volume of trade in futures markets leads one to ask the question: develop a model of the determinants of trading volume and to test it

trader profits, speculators, hedgers, hedge funds, market makers factors that pertain specifically to commodity futures markets, returns on energy turnover rate, TURNi, by dividing i's average daily trading volume by i's average open interest.

behavior of trading volume and prices volatility in emerging and futures markets remains limited in literature. For Turkish stock and futures market, there are recent studies to examine the relationship between trading volume and price volatility. Baklaci and Kasman (2006) examine the 25 individual stocks traded This article investigates the determinants of trading volume for the Euribor futures contract traded at both Euronext-LIFFE and Eurex. Granger causality tests suggest that volumes on the two Although some studies exist on the determinants of trading volume in different markets, to my knowledge this study is the ﬁrst attempt to comprehensively examine the determinants of trad-ing activity in the emerging Indian stock markets. We focus on the implications of different It is found that trading activity is higher for single-stock futures on stock characterized by low institutional ownership and high volume and volatility on the spot market. The mispricing between the spot and futures markets also attracts investors to the single-stock futures market. Most Active All futures ranks best All futures and commodity contracts by the highest daily contract volume. (Cboe BZX data for U.S. equities is real-time), ET. Volume reflects consolidated markets. Futures and Forex: 10 or 15 minute delay, CT. The list of symbols included on the page is updated every 10 minutes throughout the trading day Determinants of Trader Profits in Commodity Futures Markets Michaël Dewally, Louis H. Ederington, Chitru S. Fernando, Determinants of Trader Profits in Commodity Futures Markets, The Review of Financial Studies, Volume 26, Issue 10, October 2013, Descriptive statistics for hypothesized determinants of futures trading profits

exploring potential common underlying determinants of microstructure market Trade-based liquidity measures cover trading volume, trading value, the amount