The determinants of trading volume for cross-listed Euribor futures contracts

Rhodes, Mark; Aguenaou, Samir; Gwilym, Owain Ap

Abstract

This article investigates the determinants of trading volume for the Euribor futures contract traded at both Euronext-LIFFE and Eurex. Granger causality tests suggest that volumes on the two exchanges are interdependent. Hausman tests demonstrate that the volumes are determined simultaneously. Such results are consistent with a scenario of competition for volume between the exchanges. A model of the determinants of volume is then specified to reflect the cross-exchange influences. The study is the first investigation of this type for Euribor and contributes new findings to the literature on cross-listed futures. The article applies an innovative selection of explanatory variables. An illiquidity ratio is found to have a significant inverse relationship with LIFFE volume, but is not significantly related to Eurex volume. Other determinants have very similar effects across the exchanges. Volumes at both exchanges are significantly lower on Mondays and Fridays. There is a significant negative relationship between days to maturity and volume, and volumes are significantly higher on the expiration days of futures contracts. European Central Bank announcements lead to significantly elevated trading volumes.

Citation

Rhodes, M., Aguenaou, S., & Gwilym, O. A. (2009). The determinants of trading volume for cross-listed Euribor futures contracts. The European journal of finance, 15(1), 89-102. https://doi.org/10.1080/13518470802423148

• Journal Article Type: Article
• Acceptance Date: Nov 1, 2008
• Online Publication Date: Jan 9, 2009
• Publication Date: Jan 1, 2009
• Deposit Date: Nov 13, 2014
• Journal: European Journal Of Finance
• Print ISSN: 1351-847X
• Electronic ISSN: 1466-4364
• Publisher: Routledge
• Peer Reviewed: Peer Reviewed
• Volume: 15
• Issue: 1
• Article Number: PII 906476566
• Pages: 89-102
• DOI: https://doi.org/10.1080/13518470802423148
• Keywords: Economics, Econometrics and Finance (miscellaneous)
• Public URL: https://hull-repository.worktribe.com/output/466337