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The informational role of open interest in futures markets

By Jian Yang, David Bessler and Hung-Gay Fung

Abstract

This study examines the long-run information role of open interest in futures markets. It is found that open interest of the futures markets for storable commodities shares the same long-run information as the futures prices, but not for the nonstorable futures markets. Furthermore, the futures prices tend to drive open interest for storable commodities in the long run, but not the other way around.

DOI identifier: 10.1080/13504850410001692795
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