The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility
AbstractThe determinants of the volatility of crude oil futures prices are examined using an intra-day range-based measure of volatility. The paper employs two distinct approaches: one is to present a contract-by-contract analysis within the sample period, and the second is based on constructed series for the near-month and next-to-near-month contracts over the entire sample period. The contract-by-contract analysis reveals that trading volume and open interest are significant determinants of volatility that dominate the Samuelson maturity effect. The results support earlier findings of a positive and significant role for trading volume, and they also show the importance of open interest in determining volatility, exerting a significant negative effect. The full-period time series analysis also demonstrates the significant role played by open interest in the determination of futures price volatility, further confirming the importance of trading volume.
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Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 20 (2009)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/620162
Volatility Futures Trading volume Open interest Maturity;
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