The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets


Ordu-Akkaya B. M. , Ugurlu-Yildirim E., SOYTAŞ U.

Resources Policy, vol.61, pp.410-422, 2019 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 61
  • Publication Date: 2019
  • Doi Number: 10.1016/j.resourpol.2018.02.005
  • Title of Journal : Resources Policy
  • Page Numbers: pp.410-422
  • Keywords: Commodity, Spillover, Open interest, Trading volume, Speculators, Financialization, IMPULSE-RESPONSE ANALYSIS, COMMODITY-MARKETS, OIL FUTURES, FINANCIALIZATION, PRICE, GOLD, SPECULATION, ENERGY, US