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

Yen, Stephane M.; Chen, Ming Hsiang

doi:10.1007/s12197-009-9089-z

Cited by 3 publications

(4 citation statements)

References 53 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In summary, we incorporate an open interest variable into the HAR-RRV-RTV model in the present study, and claim that the modified model not only provides additional and useful information on volatility dynamics, but also better forecasting performance than the HAR-RRV-RTV model in terms of predicting the volatility for CSI 300 index futures. Finally, our findings are in line with Girma and Mougoue (2002) and Yen and Chen (2010), and support the implication of the SIA hypothesis.…”

Section: Robustness Checkssupporting

confidence: 89%

“…For example, Bessembinder and Seguin (1993) and Chan et al (2004) found that volatility was negatively related to open interest. In contrast, however, Liew and Brooks (1998) and Serletis and Shahmoradi (2006) suggested that a positive and statistically significant relationship existed between volatility and open interest (see also Yen and Chen 2010;Ripple and Moosa 2009;Shakeel and Ashraf 2012;Boonvorachote and Lakmas 2016). In the present study, we focus on the impact of open interest on realized volatility, in an attempt to improve futures volatility forecasting performance.…”

Section: Data Source and Empirical Resultsmentioning

confidence: 86%

“…With the exception of βOD for the four-week prediction horizon, all the other estimates of βOD in the HAR-RRV-RTV-OI model are found to be positively significant, at least at the 10% level, thereby indicating that lagged open interest containing the relevant information (which is not embedded in prior volatility) does have some effect on future realized volatility. As noted by Girma and Mougoue (2002) and Yen and Chen (2010), the lagged open interest reflects the relevant market information.…”

Section: Data Source and Empirical Resultsmentioning

confidence: 95%

“…Ripple and Moosa (2009) found that the open interest does provide explanation of futures volatility for the crude oil contract. 2 More recently, Yen and Chen (2010) found that significant in-sample relationships exist amongst the future's daily volatilities, the lagged total volume, and the lagged total open interest. Shakeel and Ashraf (2012) also demonstrated that significant relationships between return volatility, volume and open interest in the Indian futures markets.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

The information content of open interest for the realized range-based volatility: evidence from Chinese futures market

Tseng¹,

Lai²,

Wen³

2018

Pressacademia

View full text Add to dashboard Cite

Purpose -The paper studies the impact of the infroamtion content of open interst on the realized range-based vaolatility of Chinese futures markets. Methodology-We employ a hybrid range-based estimator to measure the integrated variance in the heterogeneous autoregressive (HAR) model, which also incorporates the variable of open interest into the HAR model on index futures prices of China Securities Index (CSI) 300. Findings-Our findings demonstrate that the variable of open interest has a significant explanatory power with regard to the future realized volatility of the CSI 300 index futures. Conclusion-The modified model enhances volatility forecasting performance, thereby indicating it has more accurate predictive power. Our results provide supports for the implication of the sequential information arrival hypothesis.

show abstract

Section: Robustness Checkssupporting

confidence: 89%

Section: Data Source and Empirical Resultsmentioning

confidence: 86%

Section: Data Source and Empirical Resultsmentioning

confidence: 95%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The information content of open interest for the realized range-based volatility: evidence from Chinese futures market

Tseng¹,

Lai²,

Wen³

2018

Pressacademia

View full text Add to dashboard Cite

show abstract

Causality between Indian Futures and Cash Markets - Analysis with Granger Causality Block Exogenity Model

Jose

Lazar

2015

Asian bus. rev.

View full text Add to dashboard Cite

In India, spot market return, number of contracts, turnover and volatility of the futures market are having short run relationship with futures market return. On the basis of the empirical analysis it is clearly found that spot market is the key factor that predicts the movement of futures market and the trader can depend upon volatility and trading volume to take any decision on futures market trading. In precise, spot market return, volatility of the futures market, turnover and number of contract are the determinants of the futures market in India. Spot market return is the major determinants of the futures market, indeed variables from futures market itself like open interest and turnover of futures market can be taken into consideration for determining the futures market return. The empirical study is made with spot return,

show abstract