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

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

Authors

Mark Rhodes

Samir Aguenaou

Owain Ap Gwilym



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. doi: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 Taylor & Francis (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