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| Author: | Gwilym, O. ap Aguenaou, S. Rhodes, M. |
| Title: | The determinants of trading volume for cross-listed Euribor futures contracts |
| Journal: | European Journal of Finance
2009 : JAN/FEB, VOL. 15:1-2, p. 89-102 |
| Index terms: | stock exchanges trading volumes interest rate options futures markets |
| Freeterms: | cross-listing |
| Language: | eng |
| Abstract: | This article examines the determinants of trading volume for the Euribor futures contract traded at both Eurex and Euronext-LIFFE. Granger causality tests suggest volumes on the two exchanges to be interdependent. Hausman tests show the volumes being determined simultaneously. These results are consistent with a scenario of competition for volume btw. the exchanges. In order to reflect the cross-exchange influences, a model of the determinants of volume is specified. An innovative selection of explanatory variables is applied. In addition, there are also more results reported. |
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