Search Results - subject:"open interest"

Volatility spillover across spot and futures markets : evidence from dual financial system

Elsayed, Ahmed; Asutay, Mehmet; Alaoui, Abdelkader O. el; … - In: Research in international business and finance 71 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015062170

Betting on black gold : oil speculation and U.S. inflation : 2020-2022

Breman, Carlotta; Storm, Servaas - In: International journal of political economy : a journal … 52 (2023) 2, pp. 153-180

Persistent link: https://www.econbiz.de/10014330895

Speculative ratios and returns volatility in the South African white maize futures market

Sayed, Ayesha; Auret, C. - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-21

ratios from daily trading volume and open interest. The dynamic relationship between volatility and trading activity is … decomposition and impulse response functions. The first ratio, of volume to open interest, is used to capture speculative market … activity; and the second, a ratio of the change in open interest to volume, is used to reflect the activity of hedgers. The …

Persistent link: https://www.econbiz.de/10015074708

Speculative ratios and returns volatility in the South African white maize futures market

Sayed, Ayesha; Auret, C. - In: Cogent economics & finance 11 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014500465

Trading activities and the volatility of return on Malaysian crude palm oil futures

Yeap, Xiu Wei - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-15

activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH … model is applied by adding the expected and unexpected elements of trading activities (trading volume and open interest) as … expected and unexpected open interest mitigate the volatility. Therefore, both trading volume and open interest should be …

Persistent link: https://www.econbiz.de/10013201338

Effects of the Covid-19 pandemic on derivatives markets : evidence from global futures and options exchanges

Emm, Ekaterina E.; Gay, Gerald D.; Ma, Han; Ren, Honglin - In: The journal of futures markets 42 (2022) 5, pp. 823-851

Persistent link: https://www.econbiz.de/10013187605

Trading activities and the volatility of return on Malaysian crude palm oil futures

Yeap, Xiu Wei; Hooi Hooi Lean - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10012814162

Four Commitments of Traders Reports puzzles, revisited : Answers from grains and oilseeds futures markets

Robe, Michel A.; Roberts, John S. - In: Journal of commodity markets : JCM 34 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014548324

Analysis of volatility volume and open interest for Nifty Index futures using GARCH analysis and VAR model

Dungore, Parizad Phiroze; Patel, Sarosh Hosi - In: International Journal of Financial Studies 9 (2021) 1, pp. 1-11

open interest for Nifty Index futures traded on the National Stock Exchange of India, and the extent and direction of these … according to this study establishes that volume has a stronger impact on volatility compared to open interest. Furthermore, the … impulse originating from volatility of volume and open interest is low. …

Persistent link: https://www.econbiz.de/10013200333

Analysis of volatility volume and open interest for Nifty Index futures using GARCH analysis and VAR model

Dungore, Parizad Phiroze; Patel, Sarosh Hosi - In: International Journal of Financial Studies : open … 9 (2021) 1/7, pp. 1-11

Persistent link: https://www.econbiz.de/10012422654

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