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
Date Written: June 6, 2019
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: Suggested Citation