What does futures market interest tell us about the macroeconomy and asset prices?

Harrison Hong, Motohiro Yogo

Research output: Contribution to journalArticlepeer-review

218 Scopus citations


Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro-cyclical, correlated with both macroeconomic activity and movements in asset prices. Movements in commodity market interest predict commodity returns, bond returns, and movements in the short rate even after controlling for other known predictors. To a lesser degree, movements in open interest predict returns in currency, bond, and stock markets.

Original languageEnglish (US)
Pages (from-to)473-490
Number of pages18
JournalJournal of Financial Economics
Issue number3
StatePublished - Sep 2012
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management


  • Bonds
  • Business cycle
  • Commodities
  • Currencies
  • Futures market
  • Inflation


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