The informational role of open interest in futures markets
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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. 2004 Taylor and Francis Ltd.
Applied Economics Letters
author list (cited authors)
Yang *, J., Bessler, D. A., & Fung, H.
complete list of authors
Yang *, Jian||Bessler, David A||Fung, Hung-Gay