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臺大管理論叢
第
26
卷第
3
期
159
Economic Journal) database. The following procedures are adopted to calculate the variables
needed for the analysis.
(1) We calculate the series of daily open interest values (
OI
) by summing the open
interest across two near-month contracts.
5
For example, the open interest on April 1, 2003, is
the sum of open interest of two index futures contracts (with expiration days in April and
May) on that day. The cross-sectionally aggregated open interest of two near-month contracts
provides at least two benefits over the process of rolling over open interest of single contract.
First, the sum of open interest across two near-month contracts effectively removes the
cyclical pattern of open interest associated with the life of an individual contract. Second, the
aggregated open interest incorporates hedge or speculative purposed trading using the
deferred contracts. We calculate the daily time series of volume (
VOL
) and depth measures
(
DEP
) applying similar methodology by aggregating the two near-month contracts.
Table 1 presents the summarize statistics for the daily volume and open interest series of
nearby contract alone versus the aggregation of two near-month contracts. Both series are
normalized by the value of the all traded contracts. The mean of nearby ratio in volume and
open interest is 92.5% and 83.05%, with a high standard deviation (14.43% and 17.28%).
However, the two-near-month ratio for volume and open interest rises to over 95%, showing
that trading activity almost concentrates on two near-month contracts. More importantly, the
two-near-month ratio has very low standard deviations (0.0353%) relative to that of nearby
contract. This indicates that the series have alleviated the noticeable life-cycle volatility in
the individual nearby contracts.
Table 1 Proportion of Volume and Open Interest
Variables
Volume
Open Interest
Nearby (%)
Two-near-month (%)
Nearby (%)
Two-near-month (%)
Mean
92.55
99.76
83.05
95.32
Median
98.35
99.85
88.55
96.01
Std. dev.
14.43
0.0033
17.28
0.0353
Max.
99.94
1
99.49
99.77
Min.
20.34
94
16.98
80.91
No. Obs.
2,226
2,226
2,226
2,226
Note: The table summarizes the daily series of the volume and open interest for nearby contract and
the sum of two nearest-month contracts as proportion of all traded contracts.
5 We thank an anonymous referee for suggesting the use of the sum of the two nearest month contracts.