The informational role of open interest in futures markets

Jian Yang (), David Bessler () and Hung-Gay Fung

Applied Economics Letters, 2004, vol. 11, issue 9, 569-573

Abstract: This study examines the long-run information role of open interest in futures markets. It is found that open interest of the futures markets for storable commodities shares the same long-run information as the futures prices, but not for the nonstorable futures markets. Furthermore, the futures prices tend to drive open interest for storable commodities in the long run, but not the other way around.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:11:y:2004:i:9:p:569-573

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DOI: 10.1080/13504850410001692795

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