Does Maturity Matter? The Case of Treasury Futures Volume

Journal of Futures Markets, Forthcoming

45 Pages Posted: 17 Jun 2019 Last revised: 28 Jul 2019

See all articles by Doina Chichernea

Doina Chichernea

University of Denver - Reiman School of Finance

Kershen Huang

Nova Southeastern University - H. Wayne Huizenga School of Business & Entrepreneurship

Alex Petkevich

The University of Toledo - Department of Finance

Date Written: June 6, 2019

Abstract

We find that Treasury futures volume contains information about future economic and financial market conditions. Short-term and long-term volumes are economically different: A relatively higher volume in short-term (long-term) Treasury futures is counter-cyclical (pro-cyclical), 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.

Keywords: Financial markets, macroeconomic conditions, Treasury futures, volume

JEL Classification: G11, G12, G13

Suggested Citation

Chichernea, Doina and Huang, Kershen and Petkevich, Alex, Does Maturity Matter? The Case of Treasury Futures Volume (June 6, 2019). Journal of Futures Markets, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3400648

Doina Chichernea

University of Denver - Reiman School of Finance ( email )

2101 S. University Blvd
Denver, CO 80208
United States

Kershen Huang (Contact Author)

Nova Southeastern University - H. Wayne Huizenga School of Business & Entrepreneurship ( email )

3301 College Avenue
Fort Lauderdale, FL 33314
United States

HOME PAGE: http://sites.google.com/site/kershenhuang/

Alex Petkevich

The University of Toledo - Department of Finance ( email )

2801 W. BANCROFT ST.
Mail Stop 103
Toledo, OH Ohio 43606
United States

HOME PAGE: http://homepages.utoledo.edu/apetkev

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