Three Essays on Derivative Open Interest and Volume
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Type
ThesisThesis type
Doctor of PhilosophyAuthor/s
Wu, JiashunAbstract
This thesis contains three essays that are related to trader open interest and volume in derivatives. The first essay analyses the link between subsequent commodity futures returns and net open interest by hedgers from different commodity derivatives. The second essay investigates how customer volume in two index options predicts subsequent market returns. The third essay explores trading activity in stock weekly options around corporate events.This thesis contains three essays that are related to trader open interest and volume in derivatives. The first essay analyses the link between subsequent commodity futures returns and net open interest by hedgers from different commodity derivatives. The second essay investigates how customer volume in two index options predicts subsequent market returns. The third essay explores trading activity in stock weekly options around corporate events.
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Date
2024Rights statement
The author retains copyright of this thesis. It may only be used for the purposes of research and study. It must not be used for any other purposes and may not be transmitted or shared with others without prior permission.Faculty/School
The University of Sydney Business SchoolDepartment, Discipline or Centre
Discipline of FinanceAwarding institution
The University of SydneyShare