The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility

Ronald Ripple () and Imad A. Moosa

Global Finance Journal, 2009, vol. 20, issue 3, 209-219

Abstract: The determinants of the volatility of crude oil futures prices are examined using an intra-day range-based measure of volatility. The paper employs two distinct approaches: one is to present a contract-by-contract analysis within the sample period, and the second is based on constructed series for the near-month and next-to-near-month contracts over the entire sample period. The contract-by-contract analysis reveals that trading volume and open interest are significant determinants of volatility that dominate the Samuelson maturity effect. The results support earlier findings of a positive and significant role for trading volume, and they also show the importance of open interest in determining volatility, exerting a significant negative effect. The full-period time series analysis also demonstrates the significant role played by open interest in the determination of futures price volatility, further confirming the importance of trading volume.

Keywords: Volatility; Futures; Trading; volume; Open; interest; Maturity (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:20:y:2009:i:3:p:209-219

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