search query: @author Bamberg, G. / total: 4
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| Author: | Bamberg, G. Dorfleitner, G. |
| Title: | Haltendauen von DAX-Futures-Positionen und die Konzentration auf den Nearby-Kontrakt |
| Journal: | Zeitschrift für Betriebswirtschaft
1998 : ERGÄNZUNGSHEFT 2/98, p. 55-74 |
| Index terms: | FUTURES MARKETS FINANCIAL MARKET TRADING CONTRACTS |
| Language: | ger |
| Abstract: | This paper investigates some aspects of the DAX futures market that rather have been neglected in the past: the concentration on the contract with the nearest expiration date (the nearby contract), the question how long futures contracts are held and the tendency of market participants to unwind futures positions before the expiration date. A main result is that early unwinding takes place on a large scale, while at the same time futures positions are on the average not held very long. Furthermore it is pointed out that the open interest is overestimated by the daily published data. |
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