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Open interest, cross listing, and information shocks

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  • Samir Aguenaou
  • Owain Ap Gwilym
  • Mark Rhodes

Abstract

This study examines the characteristics and behavior of the demand for hedging, proxied by open interest, for the cross‐listed Euribor futures contract traded at Euronext‐LIFFE and Eurex. The study is unique in its investigation of the simultaneous determinants of open interest in a cross‐listed setting. It also assesses the impact of shocks on traders' demand for hedging and shows how the 9/11 terrorist attacks and the credit crunch influence the level of dependency between Euronext‐LIFFE and Eurex. Differences of opinion, ECB Governing Council meetings, days of the week, contract maturity, illiquidity, and volatility are investigated as potential determinants of open interest. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:755–778, 2011

Suggested Citation

  • Samir Aguenaou & Owain Ap Gwilym & Mark Rhodes, 2011. "Open interest, cross listing, and information shocks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(8), pages 755-778, August.
    • Handle: RePEc:wly:jfutmk:v:31:y:2011:i:8:p:755-778
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    Cited by:

    1. Magkonis, Georgios & Tsouknidis, Dimitris A., 2017. "Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 104-118.
    2. Smimou, K., 2014. "Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 186-209.
    3. Smimou, K., 2017. "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 461-479.

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