Open interest, cross listing, and information shocks
(2010)
Journal Article
Rhodes, M., Aguenaou, S., & Gwilym, O. A. (2011). Open interest, cross listing, and information shocks. Journal of Futures Markets, 31(8), 755-778. https://doi.org/10.1002/fut.20494
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 d... Read More about Open interest, cross listing, and information shocks.