Trading volume and contract rollover in futures contracts

Holmes, P.; Rougier, J.

Abstract

Futures trading volume data display strong quarterly seasonality due to the ‘rolling over’ of positions close to the expiry date of the near contract. This undermines the use of volume as a proxy for information arrival. By making explicit the relationship between trading volume and change in open interest, we provide an upper bound for this rollover. Empirical analysis of the S&P500, the UK Long Gilts and the Brent Crude contracts shows that our upper bound can be used to remove expiry-related seasonality from trading volume data.

Citation

Holmes, P., & Rougier, J. (2005). Trading volume and contract rollover in futures contracts. Journal of Empirical Finance, 12(2), 317-338. https://doi.org/10.1016/j.jempfin.2004.01.003

• Journal Article Type: Article
• Publication Date: 2005-03
• Deposit Date: Feb 20, 2009
• Journal: Journal of Empirical Finance
• Print ISSN: 0927-5398
• Electronic ISSN: 1879-1727
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 12
• Issue: 2
• Pages: 317-338
• DOI: https://doi.org/10.1016/j.jempfin.2004.01.003
• Keywords: Financial futures, Trading volume, Open interest, Rollover.
• Public URL: https://durham-repository.worktribe.com/output/1631030