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Empirical Relationship Between Index Futures Prices, Volume and Open Interest: Evidence from Indian Futures Market

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  • Moonis Shakeel
  • Shahid Ashraf

Abstract

This paper examines the relationship between the returns volatility, volume and open interest of the futures market. Both volume and open interest are broken down into their respective expected and unexpected components to understand as to which is able to explain the volatility. The study is conducted on daily closing index futures prices, volume and open interest for the near-month contract of the Nifty Futures Index on National Stock Exchange (NSE). GARCH-type models are used to model the volatility.

Suggested Citation

  • Moonis Shakeel & Shahid Ashraf, 2012. "Empirical Relationship Between Index Futures Prices, Volume and Open Interest: Evidence from Indian Futures Market," The IUP Journal of Applied Finance, IUP Publications, vol. 18(3), pages 48-66, July.
    • Handle: RePEc:icf:icfjaf:v:18:y:2012:i:3:p:48-66
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    Cited by:

    1. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Roubaud, David & Shahbaz, Muhammad, 2018. "Index futures volatility and trading activity: Measuring causality at a multiple horizon," Finance Research Letters, Elsevier, vol. 24(C), pages 247-255.

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