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Does maturity matter? The case of treasury futures volume
Author(s) -
Chichernea Doina,
Huang Kershen,
Petkevich Alex
Publication year - 2019
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22039
Subject(s) - treasury , futures contract , economics , equity (law) , maturity (psychological) , financial economics , futures market , debt , monetary economics , financial system , finance , law , history , psychology , developmental psychology , archaeology , political science
We find that Treasury futures volume contains information about future economic and financial market conditions. Short‐ and long‐term volumes are economically different: A relatively higher volume in short‐term (long‐term) Treasury futures is counter‐cyclical (procyclical), preceding worse (better) economic and financial conditions. Further, we construct a single factor from futures volumes of different maturities that forecasts the performances of Treasury securities and the corporate debt and equity markets, as well as macroeconomic conditions. Our results are consistent with the notion that futures volumes from different market segments reflect differences in beliefs and contain different information about future financial and economic activity.