Trading Volume and Contract Rollover in Futures Contracts

PR Holmes, JC Rougier

Research output: Contribution to journalArticle (Academic Journal)peer-review

2 Citations (Scopus)

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.
Translated title of the contributionTrading Volume and Contract Rollover in Futures Contracts
Original languageEnglish
Pages (from-to)317 - 338
Number of pages22
JournalJournal of Empirical Finance
Volume12 (2)
DOIs
Publication statusPublished - Mar 2005

Bibliographical note

Publisher: Elsevier b.v

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