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Trading volume and contract rollover in futures contracts

Holmes, P.; Rougier, J.

Authors

P. Holmes

J. Rougier



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
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