Mehr von Pardo, Angel; Lucia, Julio Jesus
Mehr von Applied Economics

Export für Ihre Literaturverwaltung

Übernahme per Copy & Paste
Bibtex-Export
Endnote-Export

       

Weiterempfehlen

Bookmark and Share


On measuring speculative and hedging activities in futures markets from volume and open interest data

[Zeitschriftenartikel]

Pardo, Angel; Lucia, Julio Jesus

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-251090

Weitere Angaben:
Abstract This paper provides a critical assessment of the line of research that measures speculative and hedging activities in futures markets from volume and open interest data. It makes several contributions. First, a detailed theoretical analysis of the measures proposed in the previous literature as proxies for speculative activity clarifies the circumstances in which they fail, as well as the assumptions that have to be made, when they are used as intended. Second, we propose a new way of combining the volume and the open interest figures, which provides additional information regarding the type of trading activity that takes place in the market on a given date. Finally, we analyse empirically the basic statistical properties of all the ratios when they are applied to real data for some of the stock index futures contracts most actively traded in the world. This empirical analysis shows the diverse behaviour of the ratios when they are applied to a common sample of real data, which confirms our previous theoretical findings. Our contributions should be taken into account when any of the measures is used as a proxy for the relative importance of speculative demand in empirical analyses.
Klassifikation Volkswirtschaftslehre
Freie Schlagwörter speculation; hedging; futures markets
Sprache Dokument Englisch
Publikationsjahr 2010
Seitenangabe S. 1549-1557
Zeitschriftentitel Applied Economics, 42 (2010) 12
DOI http://dx.doi.org/10.1080/00036840701721489
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
top