n Investment Analysts Journal - Information content in the depth of futures markets

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The paper uses open interest as the proxy variable of market depth to estimate its effects on volatility, return, volume and deviations of contract prices from the fundamental level. It adopts open interest from three types of investors, namely, dealers, trusts and foreign investors, to analyse the information content of trading demand from these investors. The results show that the trading activity of foreign investors influences the succeeding deviations of futures prices and that the open interest of dealers contains more information, which reveals information of volatility and trading volume and influences the open interest of trusts, thus affecting the open interest of foreign investors.


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