The informational role of open interest in futures markets Academic Article uri icon

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. 2004 Taylor and Francis Ltd.

published proceedings

  • Applied Economics Letters

author list (cited authors)

  • Yang *, J., Bessler, D. A., & Fung, H.

citation count

  • 10

complete list of authors

  • Yang *, Jian||Bessler, David A||Fung, Hung-Gay

publication date

  • September 2004