Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1406
Título: Open and closed positions and stock index futures volatility
Autor: Carchano, Óscar
Lucia, Julio
Pardo, Ángel
Palavras-chave: Volatility
Open interest
Trading volume
Data: Jul-2011
Resumo: In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1406
Aparece nas colecções:ISCAL - Comunicações

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