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

Dorfleitner, Gregor (2004) How short-termed is the trading behaviour in Eurex futures markets? Applied financial economics 14 (17), pp. 1269-1279.

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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 ...

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Item Type:Article
Date:November 2004
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte, Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1080/0960310042000280456DOI
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:No
Owner: Gregor Dorfleitner
Deposited On:18 Jun 2008 10:02
Last Modified:19 Jul 2010 12:33
Item ID:3809
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