Open interest, cross listing, and information shocks

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

Abstract

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. © 2010 Wiley Periodicals, Inc.

Citation

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

• Journal Article Type: Article
• Acceptance Date: Sep 1, 2010
• Online Publication Date: Nov 5, 2010
• Publication Date: Jun 1, 2011
• Deposit Date: Nov 13, 2014
• Journal: Journal Of Futures Markets
• Print ISSN: 0270-7314
• Publisher: Wiley
• Peer Reviewed: Peer Reviewed
• Volume: 31
• Issue: 8
• Pages: 755-778
• DOI: https://doi.org/10.1002/fut.20494
• Keywords: Economics and Econometrics; Accounting; General Business, Management and Accounting; Finance
• Public URL: https://hull-repository.worktribe.com/output/468440
• Publisher URL: https://doi.org/10.1002/fut.20494
• Contract Date: Nov 13, 2014