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Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity

โœ Scribed by Monique; W.M. Donders; Roy Kouwenberg; Ton; C. F. Vorst


Book ID
108559618
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
419 KB
Volume
6
Category
Article
ISSN
1354-7798

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## Abstract This study investigates the relation between petroleum futures spread variability, trading volume, and open interest in an attempt to uncover the source(s) of variability in futures spreads. The study finds that contemporaneous (lagged) volume and open interest provide significant expla