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Open interest, volume, and volatility: evidence from Taiwan futures markets

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  • Stéphane Yen
  • Ming-Hsiang Chen

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  • Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 113-141, April.
    • Handle: RePEc:spr:jecfin:v:34:y:2010:i:2:p:113-141
    DOI: 10.1007/s12197-009-9089-z
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    More about this item

    Keywords

    Open Interest; Trading Volume; Volatility; VAR; GARCH; G15;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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