Crude oil, equity and gold futures open interest co-movements

Michael Soucek

Energy Economics, 2013, vol. 40, issue C, 306-315

Abstract: The study is unique in its investigation of the co-movements between trading activity on the equity, crude oil, and gold futures market, proxied by open interest. It provides empirical evidence that stock and crude oil futures demand for hedging is positively related, but reacts negatively to sudden shocks in open interest on the other market. Furthermore, gold futures open interest reacts positively to shocks in the crude oil futures trading activity. The level of instantaneous linkage is related to external market conditions. During periods of unstable financial markets, the correlation between equity and energy futures open interest decreases, and the correlation of the open interest on the equity and gold futures market turns weak negative. This indicates hedging funds allocation toward gold market in periods of stock market uncertainty.

Keywords: Open interest; Market co-movements; Demand for hedging; Trading activity (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:40:y:2013:i:c:p:306-315

DOI: 10.1016/j.eneco.2013.07.010

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