The Effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility

Ronald D. Ripple, Imad A. Moosa

Research output: Contribution to journalArticle

Abstract

The determinants of the volatility of crude oil futures prices are examined using an intra-day range-based measure of volatility. A contract-by-contract analysis reveals trading volume and open interest to be significant determinants of volatility; dominating the Samuelson maturity effect. The results support earlier findings of a positive and significant role for trading volume, and they also show the importance of open interest in determining volatility, exerting a significant negative effect. A full-period time series analysis also demonstrates the significant role played by open interest in the determination of futures price volatility and further confirms the importance of trading volume.
Original languageEnglish
Pages (from-to)1-25
Number of pages25
JournalMacquarie economics research papers
Issue number2/2007
Publication statusPublished - 2007

Keywords

  • volatility
  • futures
  • trading volume
  • open interest
  • maturity

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