The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets
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DOI: 10.1016/j.resourpol.2018.02.005
Abstract: Abstract In this paper, we investigate the role of open interest, trading volume and trading positions of trader groups on volatility spillover between futures and spot markets of two major commodities; oil and gold during… read more here.
Keywords: open interest; volatility; trading volume;