How short-termed is the trading behaviour in Eurex futures markets?

Abstract

This paper investigates empirically smoothing-out ratios and average holding periods of different Eurex futures such as the Euro-Bund, the DAX, the DJ Euro STOXX 50 future and others from 1999 to 2002. A methodology that only needs daily volume and open interest data is presented (including an innovative open interest correction algorithm). It can be shown that average holding periods decrease over time in most of the examined futures. Other interesting results are the June contract phenomenon in the DAX future and a 09/11 effect in several Eurex futures.