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Open interest, cross listing, and information shocks

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

Authors

Mark Rhodes

Samir Aguenaou

Owain Ap Gwilym



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. doi: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
Electronic ISSN 1096-9934
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