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.
|Number of pages||25|
|Journal||Macquarie economics research papers|
|Publication status||Published - 2007|
- trading volume
- open interest