Does maturity matter? The case of treasury futures volume

Doina Chichernea, Kershen Huang () and Alex Petkevich

Journal of Futures Markets, 2019, vol. 39, issue 10, 1301-1321

Abstract: We find that Treasury futures volume contains information about future economic and financial market conditions. Short‐ and long‐term volumes are economically different: A relatively higher volume in short‐term (long‐term) Treasury futures is counter‐cyclical (procyclical), preceding worse (better) economic and financial conditions. Further, we construct a single factor from futures volumes of different maturities that forecasts the performances of Treasury securities and the corporate debt and equity markets, as well as macroeconomic conditions. Our results are consistent with the notion that futures volumes from different market segments reflect differences in beliefs and contain different information about future financial and economic activity.

Date: 2019
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