OPEN INTEREST, CROSS LISTING, AND INFORMATION SHOCKS

被引：18

作者：

Aguenaou, Samir ^{[2
]}

Ap Gwilym, Owain ^{[3
]}

Rhodes, Mark ^{[1
]}

机构：

[1] Univ E London, Sch Business, London E16 2RD, England

[2] Al Akhawayn Univ, Sch Business Adm, Ifrane, Morocco

[3] Bangor Univ, Bangor Business Sch, Bangor, Gwynedd, Wales

来源：

JOURNAL OF FUTURES MARKETS | 2011年 / 31卷 / 08期

关键词：

FUTURES MARKETS; EMPIRICAL-EXAMINATION; TRADING VOLUME; VOLATILITY; RETURNS; TIME;

D O I：

10.1002/fut.20494

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the characteristics and behavior of the demand for hedging, proxied by open interest, for the cross-listed Euribor futures contract traded at Euronext-LIFFE and Eurex. The study is unique in its investigation of the simultaneous determinants of open interest in a cross-listed setting. It also assesses the impact of shocks on traders' demand for hedging and shows how the 9/11 terrorist attacks and the credit crunch influence the level of dependency between Euronext-LIFFE and Eurex. Differences of opinion, ECB Governing Council meetings, days of the week, contract maturity, illiquidity, and volatility are investigated as potential determinants of open interest. (C) 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:755-778, 2011

引用

页码：755 / 778

页数：24

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