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Price and Open Interest in Greek Stock Index Futures Market

Author

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  • Christos Floros

    (Christos Floros is Lecturer in Banking and Finance at the Department of Economics, University of Portsmouth, Portsmouth Business School, Portsmouth, PO1 3DE, UK. E–mail: Christos.Floros@port.ac.uk)

Abstract

This article examines the relation between price and open interest in the Greek stock index futures market. The focus is on GARCH effects and the long–run information role of open interest. The results show that current open interest helps in explaining GARCH effects, while a negative impact on returns is reported. Furthermore, evidence from the cointegration tests shows that there is a long–run relation between open interest and futures price. This suggests that one can use the information of open interest to predict futures prices in the long run. These findings are strongly recommended to financial managers dealing with Greek stock index futures.

Suggested Citation

  • Christos Floros, 2007. "Price and Open Interest in Greek Stock Index Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 6(2), pages 191-202, May.
    • Handle: RePEc:sae:emffin:v:6:y:2007:i:2:p:191-202
    DOI: 10.1177/097265270700600203
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    References listed on IDEAS

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    Cited by:

    1. Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016. "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 406-418.
    2. Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos, 2014. "Dynamic Spillover Effects in Futures Markets," MPRA Paper 53876, University Library of Munich, Germany.

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    More about this item

    Keywords

    JEL Classification: G13; JEL Classification: G14; JEL Classification: G15; Futures; open interest; GARCH; cointegration; ADEX;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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