Resources Policy xxx (xxxx) xxx–xxx

Contents lists available at ScienceDirect

Resources Policy
journal homepage: www.elsevier.com/locate/resourpol

The role of trading volume, open interest and trader positions on volatility
transmission between spot and futures markets
⁎
Beyza Mina Ordu-Akkayaa, , Ecenur Ugurlu-Yildirimb,c, Ugur Soytasc,d
a
Social Sciences University of Ankara, Department of Business Administration, Hükümet Meydanı No: 2 06030, Altındağ, Ankara, Turkey
b
Ankara Yıldırım Beyazıt University, Department of International Trade and Business, Esenboğa Külliyesi, 06970 Esenboğa, Ankara, Turkey
c
Middle East Technical University, Department of Business Administration, 06531 Ankara, Turkey
d
Middle East Technical University, Department of Earth System Science, 06531 Ankara, Turkey

A R T I C LE I N FO A B S T R A C T

JEL codes: In this paper, we investigate the role of open interest, trading volume and trading positions of trader groups on
Q02 volatility spillover between futures and spot markets of two major commodities; oil and gold during the last two
Q40 decades. The initial analysis including only spot and futures markets imply that the relationship is bi-directional
G12 for crude oil, and uni-directional for gold. Though, including open interest and trading volume enrich our results
Keywords: indicating open interest and spot markets are closely connected and trading volume provide cross-market in-
Commodity formation, which might suggest investors investing in both commodities make these markets informationally
Spillover connected. Given the increasing presence of institutional investors in commodity markets during the sample
Open interest
period, we also check whether speculators lead to excess volatility in futures market as financialization pro-
Trading volume
ponents argue. Findings depict that actually the spillover is from futures market to speculators’ positions im-
Speculators
Financialization plying volatility in commodity markets is not attributable to speculators in the last two decades.

1. Introduction and a review of literature
The debate on the role of futures market leading to excess volatility
in spot markets, dates back to 19th century with the introduction of
futures market in major commodities. Therefore studies examining the
linkage between futures and spot prices have been highly crucial in the
last century (Jacks, 2007). This discussion has got even deeper after the
heavy influx of institutional investors to commodity markets, which are
referred to as financialization of commodity markets in the literature
(Cheng and Xiong, 2014). US Commodity Futures Trading Commission
(CFTC) (2008) present that institutional holdings in oil futures dis-
played a dramatic increase from USD 13 billion in 2003 to over USD
200 billion in 2008. This increase can be attributed to two main ad-
vantages of commodities; low correlation with traditional financial
assets and hedging opportunities against inflation (Ordu et al., 2017).
Even though some argue financialization is a passing trend which
temporarily increases connections between markets (e.g., Fattouh et al.,
2013), others contend it is a permanent phenomenon (Adams and
Glück, 2015). Financialization proponents statistically show specific
type of traders’ positions (money managers, swap dealer, producer etc.)
Granger-cause futures prices and volatilities (e.g. Stoll and Whaley,
2010) and Hong and Yogo (2012) show trading volume and open in-
terest are highly informative on commodity returns, as well. Therefore,
we investigate the role of trading volume, open interest and different
types of traders’ positions on the link between spot - futures prices of two
major commodities, gold and oil.
Our research paper mainly has three stages of analysis. In the first
stage, we include solely spot and futures markets in our analysis and
examine the interaction between them. Cheng and Xiong (2014) state
commodity futures market affects commodity prices through three
mechanisms. The first and major mechanism asserts that there is an
intrinsic storage or consumption decision in commodities. If market
players opt for storing, believing prices would get higher in the future, a
link between futures and commodity market is generated (Kaldor,
1939; Working, 1949; Brennan, 1958). The second mechanism is risk
sharing, which argues that market players share the commodity price

⁎
Corresponding author.
E-mail address: beyza.akkaya@asbu.edu.tr (B.M. Ordu-Akkaya).

https://doi.org/10.1016/j.resourpol.2018.02.005
Received 1 December 2017; Received in revised form 29 January 2018; Accepted 7 February 2018
0301-4207/ © 2018 Elsevier Ltd. All rights reserved.

Please cite this article as: Ordu-Akkaya, B.M., Resources Policy (2018), https://doi.org/10.1016/j.resourpol.2018.02.005
B.M. Ordu-Akkaya et al.
Fig. 1. Crude oil and gold prices. Fig. 1 presents the historical spot prices of crude oil (CSPOT) and gold (GSPOT). Crude oil prices are represented by the left and gold by the right axis.
risk via commodity futures market (Keynes, 1923; Hicks, 1939). The
last mechanism is information discovery which argues futures markets
aggregate information (weather, demand/ supply, inventory, economic
cycles, and business conditions etc.) and incorporate this information in
futures prices of each commodity. Hence, first of all, we investigate the
volatility spillover between futures and spot markets of two highly
traded commodities; crude oil and gold markets. These commodities are
the main representatives of the large commodity markets (Zhang and
Wei, 2010).1 Therefore, information transmission between the spot and
futures markets of these major commodities is of utmost importance to
traders and investors. To address this area, we do not only check the
spillover between gold and crude oil's own spot and futures markets,
but also cross-market spillovers. As one can note from the historical
price plot of these commodities in Fig. 1, they display similar fluctua-
tions over time. Even though several studies check the spillover be-
tween gold and crude oil (e.g., Baffes, 2007; Narayan et al., 2010;
Zhang and Wei, 2010; Ewing and Malik, 2013), they do not consider
cyclical changes in the economic environment. Although some papers
find significant spillovers (Adams and Glück, 2015) and some do not
(Brunetti et al., 2016), our methodology will shed more light on this
issue by considering time-varying characteristics of the last two dec-
ades.
In the second stage, following Hong and Yogo (2012) we include
open interest and trading volume information of both commodities.
Traders should consider not only heterogeneous expectations and nu-
merous information, but also trading activities of new groups of in-
vestors. Trading activities, especially volume and open interest has
been on the radar of researchers for a long while. Several studies check
spillovers between selected energy asset classes (e.g.,Gormus et al.
(2014)) or geographical markets (e.g., Kocaarslan et al., 2017). How-
ever, not many include trading volume or open interest in commodity
market analysis. Since, Hong and Yogo (2012) show that open interest
helps to predict not only commodity returns, but also business cycles
and macroeconomic environment; we also include such variables.
Therefore, in the next step of our analysis we examine the role of
trading volume and open interest on leading to volatility in futures and
spot markets. Given the increasing interest of institutional investors in
commodity markets, these liquidity variables may contain important
information regarding the price and risk dynamics in these markets.
The heavy flood of institutional investors in commodity markets
further heated the debate on the impact of transaction quantities by
different trader groups on the futures/spot markets. Hence, in the third
stage of our analysis we employ weekly disaggregated data on trader
1
Gold is an important precious metal that is viewed as safe haven during the times of
crises by both individual and institutional investors and gold stock is worth around USD 9
trillion (Erb and Harvey, 2013). Similarly, crude oil is a very significant commodity not
only as an energy input but also as an investment tool. The investment in commodity
trading strategies grew from USD 13 billion in 2003 to USD 317 billion in July 2008
(Masters, 2008).
2
Resources Policy xxx (xxxx) xxx–xxx
positions2 for crude oil and gold and investigate the role of these po-
sitions on volatility spillover between spot and futures markets. Basak
and Pavlova (2016) theoretically show that the presence of institutional
investors increase the volatility of storable commodities. Under absence
of institutions, prices are mainly determined through supply and de-
mand risks, whereas with the inflow of institutions a new type of risk
emerges; which is ‘falling behind the index’. This risk contends that
institutional investors strive to match the performance of the index,
since inflow to their institution is dependent upon how much they
surpass index levels. And this risk increases volatility for commodity
markets. However, recent studies point out that results depend on the
commodity market in question (Gozgor et al., 2016; Adams and Glück,
2015). Hence, we check whether this is the case for crude oil and gold
during our sample period.
The contribution of our paper is mainly two-folds. First of all, we
utilize a rather new but intuitive methodology developed by Diebold
and Yilmaz (2012). This method does not only take the dynamic aspect
of spillovers into account, but also shows the “net” direction of spil-
lover. Even if statistically there might be spillover in both directions, we
can identify which asset is the net transmitter of volatility. A market
may switch roles from being a net volatility transmitter/receiver to a
net receiver/transmitter over time. We also attempt to capture this role
switching behavior. Secondly, we do not solely check the spillover
between futures and spot markets, which is already a very rich litera-
ture; but we include new phenomenon of financialization into our
study. Moreover, the idea that open interest and trading volume in-
corporate more information on future prices than any other variable is
rather new (Hong and Yogo, 2012). Therefore, through this way, we
aim to enrich established literature on spot-futures market nexus and
newly growing literature on financialization of commodities.
The major empirical findings of our study are as follows. The primary
analysis between futures and spot markets show that the relationship is
bi-directional for crude oil, and uni-directional for gold. Moreover, gold is
a more internally oriented commodity and seems to have its own dy-
namics. We also find that open interest and spot markets are significantly
connected. Furthermore, trading volume provides cross-market informa-
tion, which might be implying investors investing in both crude oil and
gold markets make these markets informationally connected. Finally, we
find that positions of all traders and commodity markets are closely in-
terconnected. Speculators, particularly, do not lead to increased volati-
lities in futures market. In fact, spillover seems to work in opposite di-
rection. Similarly, gold money manager positions are net volatility
receivers throughout the sample period, whereas crude oil money man-
ager positions sometimes become a net transmitter. The change in roles
could be attributable to the change in the price of commodities.
2
Following the public commentary (CFTC, 2006), CFTC decided to publish
Disaggregated Commitments of Traders (DCOT) reports, which provide weekly positions
of swap dealers, money managers and producers.
B.M. Ordu-Akkaya et al. Resources Policy xxx (xxxx) xxx–xxx

Table 1
Descriptive statistics and correlation matrix for daily analysis.

Panel A

L-CFUT L-CFUTOI L-CFUTV L-CSPOT L-GFUT L-GFUTOI L-GFUTV L-GSPOT

Mean 57 1116,403 453,797 57 817 337,348 114,378 817

Median 51 1194,475 390,132 51 718 362,935 94,628 720
Maximum 145 2488,716 2530,530 145 1889 657,776 897,219 1898
Minimum 11 0 0 11 253 4843 0 253
Std. Dev. 30 533,456 343,641 30 480 136,901 90,350 481
Skewness 0.38 0.17 1.28 0.38 0.32 −0.01 1.24 0.32
Kurtosis 2.07 1.87 4.89 2.08 1.68 1.93 5.45 1.68
Observations 5261 5261 5261 5261 5261 5261 5261 5261

Panel B

CFUT CFUTOI CFUTV CSPOT GFUT GFUTOI GFUTV GSPOT

Mean 0.02 0.01 0.32 0.02 0.01 0.04 0.46 0.01

Median 0.02 0.01 0.26 0.02 0.01 0.03 0.39 0.01
Maximum 0.07 0.05 1.54 0.07 0.03 12.47 2.54 0.03
Minimum 0.01 0.01 0.18 0.01 0.00 0.00 0.26 0.00
Std. Dev. 0.01 0.00 0.16 0.01 0.00 0.22 0.20 0.00
Skewness 2.01 3.49 3.00 1.86 1.89 48.77 3.69 1.87
Kurtosis 8.82 22.57 13.35 7.73 7.52 2533.38 27.17 7.15
Observations 5259 5259 5259 5259 5259 5259 5259 5259

Panel C

CFUT CFUTOI CFUTV CSPOT GFUT GFUTOI GFUTV GSPOT

CFUT 1.00
CFUTOI 0.11 1.00
CFUTV 0.09 0.21 1.00
CSPOT 0.97 0.11 0.10 1.00
GFUT 0.34 −0.01 −0.16 0.32 1.00
GFUTOI −0.01 0.01 0.02 −0.01 0.00 1.00
GFUTV 0.01 0.24 0.54 0.02 −0.15 0.22 1.00
GSPOT 0.32 −0.04 −0.20 0.29 0.96 −0.01 −0.21 1.00

This table gives descriptive statistics for the first part of the analysis (Daily). Data is available in daily frequency and for the period between 25 August 1997 and 17 October 2017 for all
variables. Panel A presents statistics of variables in levels. Panel B shows GARCH (1,1) volatilities of same variables. CFUT and GFUT are continuous futures prices of crude oil and gold,
respectively. CSPOT is the spot US dollar prices of WTI Cushing Oklahoma per barrel and GSPOT is the spot gold bullion price per ounce. CFUTOI (GFUTOI) and CFUTV (GFUTV) are open
interest positions of crude oil (gold) and trading volume, respectively. Trading volume is the total quantity of contracts traded and open interest is the number of contracts outstanding at
the end of each trading day. Panel C presents correlation matrix of selected variables.

Our results provide important policy-making implications. First of
all, we show that futures markets do not lead to excess volatility in spot
markets. Therefore, unlike the common perception in public about fu-
tures market (Jacks, 2007), it is not an evil market and thus policy-
makers do not necessarily be worried about the impact of futures on
spot markets. Second, open interest and trading volume might in-
formation about crude oil and gold. There is no harm for policy-makers
to share the information on trading volume and open interest, since
although these two provide information about the market, they do not
increase the volatility. Last but not least, our results imply that futures
market do not harm small investors via speculations, since speculators
do not increase volatility. This result is in line with Brunetti et al.
(2016) who claim that speculators do not lead to increased volatilities
in futures market; but the opposite is true. Therefore, policy-makers do
not need to interfere specific markets or market-players as unlike al-
leges in literature. In fact, sharing such information increases the
transparency and would benefit public, even more.
The paper is organized as follows. Second and third sections present
the empirical method and data, respectively. Results are displayed in
the following section. The final section concludes.
autoregression method of Sims (1980) and forecast error variance de-
composition (FEVD). FEVD investigates the contribution of each vari-
able on forecasting the H -step ahead variance on itself or another
variable. So, FEVD provides one to analyze the percentage share of
variance of gold spot prices on crude oil prices. One should note that DY
employs generalized frameworks (Koop et al., 1996; Pesaran and Shin,
1998) but not the traditional method using Cholesky-decomposition.
Cholesky-decomposition urges the user to order variables upon the
importance of the impact on other variables. However, one might not
always be equipped with this information. Hence, generalized frame-
work covers this issue and allows the user to include variables in-
dependent from ordering.
First, the analysis runs a 4-lag3 vector autoregression based on SIC
criterion with N -number of variables as in Eq. (1). Based on the number
of endogenous variables, coefficient matrices are [N *N ]; and εt is the
error term and is a vector of independent and identically distributed
disturbances as (0, Σ).
4
Yt = ∑ θi Yt−i + εt
i=1 (1)

2. Method The moving average representation of Eq. (1) is;

We mainly employ Diebold and Yilmaz (2012) (DY) framework for

3
our analysis. This framework is built upon the very well-known vector The results are very similar when we use lags between 2 and 8.

3
B.M. Ordu-Akkaya et al. Resources Policy xxx (xxxx) xxx–xxx

Table 2
Descriptive statistics and correlation matrix for weekly analysis.

Panel A

L-CFUT L-CMM L-CPU L-CSD L-CSPOT L-GFUT L-GMM L-GPU L-GSD L-GSPOT

Mean 76 790,939 619,876 870,813 76 1183 177,999 215,109 159,975 1183

Median 77 772,503 580,186 875,439 77 1221 176,712 205,701 150,838 1223
Maximum 141 1466,645 1094,206 1095,025 141 1871 333,083 380,866 301,934 1888
Minimum 28 402,537 325,917 587,303 28 564 78,066 77,910 80,704 569
Std. Dev. 24 237,594 162,872 88,866 24 312 45,664 74,561 50,125 312
Skewness 0.04 0.42 1.09 −0.36 0.03 −0.09 0.50 0.19 0.71 −0.09
Kurtosis 2.10 2.39 3.79 3.63 2.10 2.39 3.69 2.06 2.87 2.39
Observations 593 593 593 593 593 593 593 593 593 593

Panel B

CFUT CMM CPU CSD CSPOT GFUT GMM GPU GSD GSPOT

Mean 0.05 0.04 0.06 0.03 0.05 0.03 0.06 0.06 0.05 0.02
Median 0.04 0.04 0.06 0.03 0.05 0.02 0.06 0.06 0.05 0.02
Maximum 0.14 0.11 0.07 0.03 0.19 0.04 0.16 0.11 0.10 0.05
Minimum 0.02 0.04 0.05 0.02 0.03 0.02 0.05 0.03 0.04 0.02
Std. Dev. 0.02 0.01 0.00 0.00 0.02 0.00 0.01 0.02 0.01 0.00
Skewness 1.56 5.21 1.32 −6.08 2.81 1.70 2.96 0.58 0.98 1.76
Kurtosis 6.12 43.94 5.66 67.64 14.71 5.86 15.30 2.93 3.84 5.96
Observations 591 591 591 591 591 591 591 591 591 591

Panel C

CFUT CMM CPU CSD CSPOT GFUT GMM GPU GSD GSPOT

CFUT 1.00
CMM 0.07 1.00
CPU 0.09 0.36 1.00
CSD −0.05 −0.03 0.05 1.00
CSPOT 0.95 0.05 0.08 −0.03 1.00
GFUT 0.39 0.07 0.09 −0.18 0.45 1.00
GMM 0.09 0.46 0.16 0.06 0.08 0.07 1.00
GPU 0.39 −0.05 0.11 −0.01 0.31 −0.12 0.02 1.00
GSD 0.13 0.11 −0.03 0.00 0.06 0.05 0.22 0.25 1.00
GSPOT 0.37 0.07 0.08 −0.24 0.41 0.99 0.07 −0.13 0.04 1.00

This table gives descriptive statistics for the second part of the analysis (Weekly). Data is available in weekly frequency and for the period between 27 June 2006 and 17 October 2017 for
all variables. Panel A presents statistics of variables in levels. Panel B shows GARCH (1,1) volatilities of same variables. Panel C presents correlation matrix. CFUT and GFUT are
continuous futures prices of crude oil and gold, respectively. CSPOT is the spot US dollar prices of WTI Cushing Oklahoma per barrel and GSPOT is the spot gold bullion price per ounce.
CMM (GMM), CSD (GSD) and CPU (GPU) are weekly open interest positions of Money Managers, Swap Dealers and Producers, respectively. Since all these traders have both long and
short positions, we compute open interest via (long +short +2*spreading) for the first two groups and via (long +short) for producers. Spread positions are simultaneous buying and
selling and are valid for speculators.

∞
to 1 and thus each entry is normalized by the row sum as follows;
Yt = ∑ Ai εt−i
i=0 (2) ∼ δij
δij = N
or more simply Yt = A (L) ut . Moving average coefficients denoted by ∑ j = 1 δij (4)
A (L) is of utmost importance in understanding the dynamic links be- N N
By construction, = 1 and moreover
∑ j = 1 δij = N . Now, we
∑i, j = 1 δij
tween variables. These coefficients allow dividing the H -step-ahead
are equipped with available measures to calculate gross and net spil-
forecast error variances of each variable into parts attributable to the
lovers. The gross connectedness is basically the off-diagonal entry and is
various system shocks. There are hundreds of moving average coeffi-
as follows for the spillover from i to j and j to i , respectively.
cients to interpret (i.e., A (L) = A0 + A1 L+A2 L + …,) , but variance de-
N ∼ N ∼
composition framework transforms them to a readable format. ∑ j = 1 δij ∑ j = 1 δji
Then the FEVD for H-step ahead is as follows: GSi ← j = *100; GSi → j = *100
N N (5)
H −1
σjj−1 ∑h = 0 (e′i Ah Σej )2 Next, one can compute the net spillover, which is;
δij = H −1
∑h = 0 (e′i Ah ΣA′h ei )2 (3) NSij = GSj ← i − GSi ← j. (6)

where σjj stands for the standard deviation of εj , Σ is the covariance Diebold and Yilmaz (2012) also compute a spillover index, which is
matrix for the error vector, ej is a selection N *1 vector with j -th element basically a measure of the extent of spillover. To compute the spillover
unity and zeroes otherwise. As a result, a N *N matrix is produced, of index, we sum all off-diagonal elements and divide it by total column or
which each entry provides the contribution of variable j on the forecast row sums including the diagonal elements. Therefore the denominator
error variance of variable i . In the matrix, diagonals and off-diagonals is always N *100 .
present own contributions (variable i to itself) and pairwise-contribu- N ∼
∑i, j = 1, i ≠ j δij
tions (variable i to variable j ), respectively. However, row sums in TSi ← j =
N *100 (7)
generalized variance decomposition matrices are not necessarily equal

4
B.M. Ordu-Akkaya et al. Resources Policy xxx (xxxx) xxx–xxx

Table 3
Volatility spillover between futures and spot markets.

Panel A – Spillover table (H = 10 days)

CFUT CSPOT GFUT GSPOT From others

CFUT 54.4 42.6 2.0 1.0 45.6

CSPOT 43.1 54.9 1.5 0.6 45.1
GFUT 1.6 1.1 60.0 37.3 40.0
GSPOT 0.5 0.4 39.2 60.0 40.1
Contribution to others 45.2 44.1 42.7 38.8 170.7
Contribution including own 99.6 99.0 102.6 98.8 42.7%

Panel A – Spillover table (H=1 days)

CFUT 56.0 42.1 1.4 0.5 44.0
CSPOT 42.3 56.3 1.0 0.5 43.8
GFUT 1.7 1.2 66.4 30.8 33.6
GSPOT 0.6 0.6 31.3 67.5 32.5
Contribution to others 44.6 43.8 33.7 31.8 153.9
Contribution including own 100.6 100.1 100.1 99.3 38.5%

Panel B – Net spillovers (H= 10 days)

CFUT CSPOT GFUT GSPOT

CFUT
CSPOT 0.5
GFUT −0.4 −0.3
GSPOT −0.5 −0.2 1.9

Panel B – Net spillovers (H = 1 days)

CFUT CSPOT GFUTOI GSPOT

CFUT
CSPOT 0.2
GFUT 0.3 0.2
GSPOT 0.1 0.1 0.5

This table presents the volatility spillover tests utilizing Diebold and Yilmaz (2012) framework. Panel A shows the gross spillover findings. The percentage in the below right hand corner
of the table is the spillover index and shows the share of spillovers in explaining forecast error variance of all assets, on average. It is the grand off-diagonal sum divided to the grand sum
including diagonals, expressed as a percentage. Contribution to others and from others figures are off-diagonal column and row sums, respectively. Panel B depicts the net (pairwise)
spillovers between each pair. One can find the directional spillover via deducting same pairs’ gross spillovers from each other. For instance the net spillover is [43.1–42.6 = 0.5] between
oil futures and spot markets. Positive (Negative) figure shows spillover from column (row) to row (column). CFUT and GFUT are continuous futures prices of crude oil and gold,
respectively. CSPOT is the spot US dollar prices of WTI Cushing Oklahoma per barrel and GSPOT is the spot gold bullion price per ounce.

of futures markets is believed to be this information (Cheng and Xiong,

Fig. 2. Gross and net volatility network between oil and gold markets. We present
the volatility network between oil and gold markets based upon Diebold-Yilmaz output.
First we compute gross spillovers between Asset i and Asset j and take an average of these
spillovers. If the average spillover is greater than 1 (which means contribution of shocks
in one of the assets to the others’ FEV is at least 1%), there is a significant spillover
between these assets. If the net spillover is greater than 1 (NSij = GSj ← i − GSi ← j .), then
we plot a uni-directional arrow, otherwise bi-directional arrow. Dashed line refers to the
cross-commodity spillover and straight line refers to spillovers between same commodity
markets. CFUT and GFUT are continuous futures prices of crude oil and gold, respectively.
CSPOT is the spot US dollar prices of WTI Cushing Oklahoma per barrel and GSPOT is the
spot gold bullion price per ounce.
One of the major advantages of DY framework is providing a spil-
lover plot via rolling windows estimation. Through this way, one can
understand not only the direction of spillover but also the time-varying
characteristics between selected variables. Hence, we estimate the
model in Eq. (1) using 200-day rolling windows and calculate the FEVD
and spillover indices and present in Section 5.
3. Data
2014). Hence, we check whether there is an information spillover be-
tween futures and spot markets of crude oil and gold and amongst each
other's markets. We utilize daily spot and futures prices of gold and
crude oil for the period between 25 August 1997 and 17 October 2017
obtained from Datastream. Our data is on a trading-day basis and takes
log returns of all variables via the conventional method of
rt = log(Pt ) − log(Pt − 1)*100 . We proxy volatility via GARCH (1,1) since
this method is found to be no inferior compared to other 330 ARCH-
type models (Hansen et al., 2005). Since Narayan and Narayan (2007)
note that leverage effect should be taken into account in commodities,
we also run the model utilizing EGARCH (1,1). However, findings were
highly similar with GARCH (1,1) and hence we continue with this
method. Please also note that we apply the Ljung–Box and ARCH tests
to examine whether there is any remaining autocorrelation or condi-
tional heteroscedasticity.
Hong and Yogo (2012) show open interest could be informative on
asset prices and therefore we check the volatility spillover between
trading volume, open interest and futures/spot markets. We employ
daily trading volume and open interest of the nearest continuous fu-
tures4 contract of both crude oil and gold, which are also available for
the same period mentioned above.
Moreover, the financialization literature argues that institutional
investor presence creates a volatility spillover between commodities

As we previously mention, market efficiency hypothesis argues,

futures prices should not be leading spot prices, otherwise there will be 4
We take Type 0 rollover, which rolls over on the first business day of the new notional
an arbitrage opportunity. On the other hand, one of the major benefits contract month. No price adjustment is made (Datastream, 2016).

5
B.M. Ordu-Akkaya et al. Resources Policy xxx (xxxx) xxx–xxx

Fig. 3. Volatility index for oil and gold spot and futures markets. The figure presents
the volatility spillover index between CFUT, GFUT, CSPOT and GSPOT for the period
between 25 August 1997 and 17 October 2017. Since Diebold and Yilmaz (2012) advise it
to be calculated via 200-day rolling windows.
and also increase prices and volatilities. Hence, we also investigate the
volatility transmission mechanism between open interest positions of
trader types and commodity prices. We obtain open interest positions
for sub-groups of traders; which are Swap Dealers, Money Managers
and Producers starting from 2006. As its name suggests, DCOT report
provides weekly disaggregated data on trader positions beginning from
2006 for almost all commodities.
This report divides trading positions mainly into four as; Swap
Dealers, Processors, Managed Money and Other Reportables. Swap
dealers are often affiliated with large financial institutions and are the
counterparty of swap transactions (CFTC, 2008). Money Managers in-
clude fundamentally hedge funds, commodity trading advisors and
commodity pool operators which are included in futures trading on
behalf of their clients. Therefore they manage investments of either
institutional or individual clients. Processors and Merchants, on the
other hand, is the core commercial group participating in producing,
processing or handling of commodities. Swap dealers and Money
Managers are generally on the long side of the market, whereas

Table 4
Volatility spillover including trading volume and open interest.

Panel A – Spillover table

CFUT CFUTOI CFUTV CSPOT GFUT GFUTOI GFUTV GSPOT From others

CFUT 53.1 1.1 0.4 41.7 2.2 0.4 0.3 1.1 46.9
CFUTOI 1.6 95.2 0.1 1.0 0.5 0.3 1.2 0.1 4.8
CFUTV 1.2 1.0 94.1 0.7 0.0 0.1 2.7 0.3 5.9
CSPOT 42.0 1.1 0.5 53.7 1.6 0.3 0.2 0.6 46.3
GFUT 1.5 0.1 0.0 1.1 57.3 2.7 1.8 35.7 42.7
GFUTOI 0.3 0.3 0.2 0.3 5.3 87.0 2.6 4.1 13.0
GFUTV 0.0 0.1 3.9 0.0 1.8 1.3 92.2 0.6 7.8
GSPOT 0.5 0.0 0.1 0.4 38.0 2.6 1.1 57.3 42.7
Contribution to others 47.2 3.6 5.1 45.1 49.4 7.6 9.7 42.4 210.2
Contribution including own 100.3 98.9 99.2 98.8 106.6 94.6 102.0 99.7 26.3%

Panel B – Net pairwise spillovers

CFUT CFUTOI CFUTV CSPOT GFUT GFUTOI GFUTV GSPOT

CFUT
CFUTOI 0.57
CFUTV 0.84 0.83
CSPOT 0.38 0.06 −0.24
GFUT −0.62 −0.44 0.03 −0.51
GFUTOI −0.07 0.06 0.07 −0.03 2.62
GFUTV −0.22 −1.02 1.15 −0.21 0.08 −1.27
GSPOT −0.59 −0.06 −0.16 −0.26 2.37 −1.48 0.49

Panel C – Net spillovers

CFUT 0.3
CFUTOI −1.2
CFUTV −0.8
CSPOT −1.2
GFUT 6.7
GFUTOI −5.4
GFUTV 1.9
GSPOT −0.3

This table gives the spillovers including both crude oil and gold futures/ spot markets and trading volume/ open interest. The
percentage in the below right hand corner of the table is the spillover index and shows the share of spillovers in explaining forecast
error variance of all assets, on average. It is the grand off-diagonal sum divided to the grand sum including diagonals, expressed as a
percentage. Contribution to others and from others figures are off-diagonal column and row sums, respectively. Panel B depicts the net
(pairwise) spillovers between each pair. One can find the directional spillover via deducting same pairs gross spillovers from each
other. For instance the net spillover is [42.0–41.7 = 0.4] for oil futures and spot markets. Positive (Negative) figure shows spillover
from column (row) to row (column). CFUT and GFUT are continuous futures prices of crude oil and gold, respectively. CSPOT is the
spot US dollar prices of WTI Cushing Oklahoma per barrel and GSPOT is the spot gold bullion price per ounce. CFUTOI (GFUTOI) and
CFUTV (GFUTV) are open interest positions of crude oil (gold) and trading volume, respectively. Trading volume is the total quantity
of contracts traded and open interest is the number of contracts outstanding at the end of each trading day.

6
B.M. Ordu-Akkaya et al.
Fig. 4. Volatility network including trading volume and open interest. Panel A –
Gross spillovers. Panel B – Net spillovers. We present the volatility network between oil
and gold markets based upon Diebold-Yilmaz output. First we compute gross spillovers
between Asset i and Asset j and take an average of these spillovers. If the average spil-
lover is greater than 1 (which means contribution of shocks in one of the assets to the
others’ FEV is at least 1%), there is a significant spillover between these assets. If the net
spillover is greater than 1 (NSij = GSj ← i − GSi ← j .), then we plot a uni-directional arrow,
otherwise bi-directional arrow. Dashed line refers to the cross-commodity spillover and
straight line refers to spillovers between same commodity markets. CFUT and GFUT are
continuous futures prices of crude oil and gold, respectively. CSPOT is the spot US dollar
prices of WTI Cushing Oklahoma per barrel and GSPOT is the spot gold bullion price per
ounce. CFUTOI (GFUTOI) and CFUTV (GFUTV) are open interest positions of crude oil
(gold) and trading volume, respectively. Trading volume is the total quantity of contracts
traded and open interest is the number of contracts outstanding at the end of each trading
day.
Producers are on the short side. However, all these traders can either
take short and long positions depending upon the market environment.
Therefore, following Bhardwaj et al. (2015), we compute open interest
positions as follows: [long + short +2*spreading] for Money Managers
and Swap Dealers and via (long +short) for producers. Spread positions
refer to simultaneous buying and selling and are valid for speculators.
Descriptive statistics for all variables included in the analysis as well
as the correlation matrix are provided in Tables 1, 2.
4. Results
Utilizing DY framework, we calculate total, gross (directional) and net
(pairwise) volatility spillovers. Although results are provided based on the
lag = 4 model, they are very similar for the lag lengths between 2 and 8.
DY framework depends on the selection of horizon days (H ) and selection
of H is highly arbitrary but authors propose to select an H dependent upon
the aim of the study. We select H = 10 for our daily analysis (Diebold and
Yilmaz, 2012) and H = 2 for weekly analysis. Authors indicate con-
nectedness can increase with higher horizon days, and hence results are
not less but more significant under longer horizon days.
7
Resources Policy xxx (xxxx) xxx–xxx
4.1. Futures – spot and oil – gold linkages
Table 3 depicts the DY results between futures and spot markets of
crude oil and gold and a graphical illustration of volatility network is
also summarized in Fig. 2. Results suggest that shocks in one market
have similar percentage contributions on the other, which implies fu-
tures and spot markets seem to be integrated and almost equally in-
formative on each other.
Findings also depict that the share of oil futures (spot) on spot
(futures) market’ FEV is 43.1% (43.2%) and hence, new market in-
formation spreads into both markets within a 10 day horizon. Gold
markets are slightly more self-oriented such that the share of gold fu-
tures (spot) on forecast error variance on spot (futures) market is 39.2%
(37.3%). However, it is of no surprise that each market's explanatory
power on itself FEV is highest, since some news may be related with
futures but not spot prices, or vice versa (Antonakakis et al., 2016).
We also investigate the spillover within a day (H = 1 days) and
check whether there is a significant discrepancy between horizons.
Although the pairwise spillovers (from futures to spot or vice versa) are
not considerably lower for the oil. This finding is somewhat in line with
the argument that spot and futures market impound information right
away, and no market is more dominant on the other (e.g., Alquist and
Kilian, 2010; Nicolau and Palomba, 2015). On the other hand, the in-
terconnectedness of gold's future and spot markets become weaker
suggesting these markets have their own dynamics.
Table 3 also presents the net volatility spillover between futures and
spot markets, which is calculated via deducting off-diagonals from each
other as in Eq. (6). For instance the net spillover is [43.1–42.6 = 0.5]
for oil markets. This indicates that spot markets receive volatility from
futures markets as it is discussed in several papers (e.g. Gil-Alana and
Tripathy, 2014). However, one should note that 0.5% is somewhat low
in terms of 10 day ahead FEVD (0.2% at H = 1 days). Therefore, we
can conclude there is a bi-directional spillover between futures and spot
markets. The net spillover for gold market, on the other hand, is rela-
tively higher [1.9], depicting that gold futures are a major transmitter
of volatility.
Our results in Table 3 suggest that there is a bi-directional re-
lationship between the two commodities over futures markets; but not
over spot markets. This might imply the spillover impact of speculators,
since they invest only in futures markets. Also one should note that
there is an indirect relationship from crude futures to gold spot market
and this link could be due to speculators.
The spillover index which is located at the right hand corner of
Table 3 Panel A, shows the average inter-connectedness between assets.
This figure is 38.5%, which means the contribution of all these 4 assets
on average to each other's FEV is around 40%. Fig. 3 depicts the time
varying behavior of the index which is around 30–45% range during the
period between 1998 and 2008. On the other hand, after the burst of
the crisis, the index suddenly jumps to 63% by September 2008. And up
until 2015, spillover index has been highly volatile and displayed ca-
pricious behavior. Even though the index is somewhat stable in the last
two years, as a future direction of research, researchers could look for
underlying forces behind the spillover index.
4.2. Informative power of trading volume and open interest
Given the previous findings on the interconnectedness between
volatility, trading volume and open interest, we extend the previous
analysis by including daily trading volume and open interest of both
futures markets. Table 4 presents the DY output and Fig. 4 shows the
volatility network in a summarized illustration.
Fig. 4 Panel A and B presents gross and net volatility spillovers,
respectively. First we compute gross spillovers between Asset i and
Asset j and take the average. If the average spillover is greater than 1
(which means contribution of shocks in one of the assets to the others’
FEV is at least 1%), there is a significant spillover between these assets.
B.M. Ordu-Akkaya et al. Resources Policy xxx (xxxx) xxx–xxx

Fig. 5. Time-varying net spillovers. This figure gives time-varying net spillover of each variable against other variables. We calculate time-varying spillover via 200-day rolling
windows. CFUT and GFUT are continuous futures prices of crude oil and gold, respectively. CSPOT is the spot US dollar prices of WTI Cushing Oklahoma per barrel and GSPOT is the spot
gold bullion price per ounce. CFUTOI (GFUTOI) and CFUTV (GFUTV) are open interest positions of crude oil (gold) and trading volume, respectively. Trading volume is the total quantity
of contracts traded and open interest is the number of contracts outstanding at the end of each trading day.

8
B.M. Ordu-Akkaya et al.
Fig. 6. Volatility index including trading volume and open interest. The figure
presents the volatility spillover index between CFUT, CFUTOI, CFUTV, CSPOT, GFUT,
GFUTOI, GFUTV, and GSPOT for the period between 25 August 1997 and 17 October
2017. Since Diebold and Yilmaz (2012) advise it to be calculated via 200-day rolling
windows.
Fig. 7. Time-varying spillover index. The figure presents the volatility spillover index
between CFUT, CMM, CPU, CSD, CSPOT, GFUT, GMM, GPU, GSD, GSPOT for the period
between 18 May 2010 and 17 October 2017. Since Diebold and Yilmaz (2012) advise it to
be calculated via 200-week rolling windows, the period between 2008 and 2010 are not
presented.
If the net spillover is greater than 1 (NSij = GSj ← i − GSi ← j .), then it is
depicted by a uni-directional arrow, otherwise a bi-directional arrow is
drawn.
We observe that open interest and spot markets are closely related
and direction is bi-directional for oil and uni-directional for the gold
market. Furthermore, trading volume provides cross-market informa-
tion, which might be implying investors investing in both crude oil and
gold markets spill information to one another. Furthermore, gold open
interest receives volatility from futures market as well as the trading
volume. Therefore, our results partially support findings of Antonakakis
et al. (2016), but we should note that trading volume and open interest
do not spill volatility to futures or spot markets as it is argued in Hong
and Yogo (2012).
Although net connectedness figures of open interest and trading
volume shows both are net volatility receivers, time varying spillover
figure (Fig. 5) indicates that both variables play significant volatility
transmitting roles in selected time episodes. Therefore, a visual analysis
could hint that open interest and trading volume are clearly important
indicators during specific times; and even more important than futures
prices.
The total spillover index shows average contribution of un-
anticipated changes to volatilities of dependent variables, and is 26.3%
9
Resources Policy xxx (xxxx) xxx–xxx
throughout our sample period. We plot time-varying characteristics of
the plot in Fig. 6, which suggests spillover sways between 30 and 50
range and attains its historical high in 2008. Hence, based on this
episode, open interest and trading volume holds significant information
about both commodity markets.
4.3. Trader types and futures markets
Financialization theory argues that institutional investors increase
volatilities and create spillovers between commodity markets (Basak
and Pavlova, 2016). However, empirical papers do not reach a con-
sensus. We next investigate the spillover between trader types and
commodity markets utilizing the data from DCOT reports.
Results show that spillover index is 28.7%, which is considerably
high and provides that all traders’ positions and commodity markets are
closely interconnected. However, we also present time-varying spil-
lovers to examine how market conditions affect the spillover index. As
Fig. 7 presents, the spillover index displays quite a volatile figure
throughout the sample period. Especially up until 2013, we see very
high figures, which might be attributable to financialization. The spil-
lover index gradually declines, but after 2016 we see a quite significant
incline, again.
Table 5 and Fig. 8 suggest that crude oil and gold markets are clo-
sely related and their traders spill volatility to the other market, sig-
nificantly. Particularly, Fig. 8 shows that money managers and swap
dealers are bi-directionally connected. We also show that speculators
receive volatility from both spot and futures markets. Therefore, our
results are in line with Brunetti et al. (2016) who argue that speculators
do not lead to increasing volatilities in futures market; but the opposite
is true..
Table 5 also shows that oil money managers explain 14.8% of
producers’ FEV; whereas gold money managers explain 3.3% of gold
producers and 4.0% of gold swap dealers’ FEV. However, the net spil-
lover in Table 5 Panel C shows that gold money managers are receiving
volatility more than they transmit. This is further supported by time-
varying spillover figures. As Fig. 9 presents, gold money manager po-
sitions are consistently volatility receivers throughout the sample
period. On the other hand, crude oil money managers do not exhibit a
consistent receiver/ transmitter role. This finding is in line with Adams
and Glück (2015) arguing financialization is dependent upon the per-
formance of the individual commodity compared to the S&P GSCI ag-
gregated index. They show crude oil is a very well performer against the
index and thus it is financialized and there is a significant volatility
spillover from index trader positions to futures prices. On the other
hand, gold does not present likewise results, it is a poor performer and
there is no significant spillover from index traders to gold futures.
The disparity between oil money manager volatility roles could also
be attributable to the changing motives of money managers depending
upon the prices of oil. Since they are perceived to be speculators in the
market, their sole motive is to chase prices. To have a clear view of this,
we plot crude oil and gold spot prices against money manager positions
of both commodities in Fig. 10. This figure shows a visibly significant
connection between the price and volatility transmission of money
managers. When the price of the commodity increases (decreases),
volatility receiver (transmitter) role of money managers becomes
stronger. What drives this trend? Speculators generally are on the long
side of the market and undertake the commodity price risk. However,
they enter into contract on the proviso expected spot price is higher
than settled futures price. Therefore, when the market is on back-
wardation, they have a tendency to enter into that particular market
and as they start to enter their positions may be displaying a volatility
B.M. Ordu-Akkaya et al. Resources Policy xxx (xxxx) xxx–xxx

Table 5
Volatility spillover based on trader types.

Panel A – Gross spillover

CFUT CMM CPU CSD CSPOT GFUT GMM GPU GSD GSPOT From others

CFUT 49.5 0.0 0.5 0.4 44.2 2.2 0.0 0.1 0.5 2.7 50.5
CMM 0.6 83.8 12.2 2.6 0.4 0.1 0.1 0.1 0.1 0.0 16.2
CPU 0.3 14.8 83.6 0.9 0.2 0.1 0.0 0.1 0.1 0.0 16.4
CSD 1.7 1.9 0.9 91.8 1.3 0.1 0.0 1.5 0.1 0.6 8.2
CSPOT 43.6 0.1 0.5 0.3 50.2 2.2 0.0 0.1 0.5 2.7 49.8
GFUT 2.5 0.1 0.0 0.0 2.2 47.2 2.7 0.5 1.2 43.8 52.8
GMM 0.2 0.1 0.0 0.0 0.1 5.5 81.1 3.7 4.0 5.2 18.9
GPU 0.5 0.2 0.1 1.7 0.6 1.1 3.3 90.0 1.1 1.6 10.0
GSD 0.9 0.1 0.1 0.1 0.7 2.4 4.0 1.4 88.1 2.3 11.9
GSPOT 2.7 0.1 0.0 0.2 2.3 42.9 2.3 0.6 1.1 47.7 52.3
Contribution to others 52.9 17.3 14.3 6.1 52.0 56.6 12.4 8.0 8.5 58.9 286.9
Contribution including own 102.4 101.1 97.9 98.0 102.2 103.7 93.5 98.0 96.6 106.5 28.70%

Panel B – Net pairwise spillover

CFUT CMM CPU CSD CSPOT GFUT GMM GPU GSD GSPOT

CFUT
CMM 0.6
CPU −0.2 2.5
CSD 1.4 −0.6 0.0
CSPOT −0.6 −0.3 0.3 −1.0
GFUT 0.3 0.0 −0.1 −0.1 0.0
GMM 0.2 0.0 0.0 0.0 0.1 2.9
GPU 0.4 0.1 −0.1 0.2 0.5 0.6 −0.5
GSD 0.4 0.0 0.1 0.0 0.3 1.2 0.0 0.3
GSPOT 0.0 0.1 0.0 −0.4 −0.4 −0.9 −2.9 −1.0 −1.1

Panel C – Net spillovers

CFUT 2.4
CMM 1.1
CPU −2.1
CSD −2.1
CSPOT 2.2
GFUT 3.8
GMM −6.5
GPU −2.0
GSD 6.2
GSPOT 6.6

This table presents the volatility spillover between crude oil and gold futures and spot markets and their trader types. The
percentage in the below right hand corner of the table is the spillover index and shows the share of spillovers in explaining
forecast error variance of all assets, on average. It is the grand off-diagonal sum divided to the grand sum including diagonals,
expressed as a percentage. Contribution to others and from others figures are off-diagonal column and row sums, respectively.
Panel B depicts the net (pairwise) spillovers between each pair. CFUT and GFUT are continuous futures prices of crude oil and
gold, respectively. CSPOT is the spot US dollar prices of WTI Cushing Oklahoma per barrel and GSPOT is the spot gold bullion
price per ounce. CMM (GMM), CSD (GSD) and CPU (GPU) are weekly open interest positions of Money Managers, Swap Dealers
and Producers, respectively.

receiver role from futures market prices and other traders’ positions.
However, when the market is on contango, they might prefer to exit
from the market since they are not rewarded for the risk they are
bearing. After they commence to exit, this behavior could be leading
the volatility in futures market prices and in positions of other traders.
5. Conclusions
The goal of our paper is to investigate the role of trading volume,
open interest and trader positions on volatility spillover between fu-
tures and spot markets of two commodities; crude oil and gold.
Although the linkage between futures and spot markets is a rich lit-
erature, including liquidity variables such as trading volume and open
interest as well as traders’ positions are rather new (Antonakakis et al.,
2016). Moreover, the increasing presence of institutional investors in
commodity markets changed the commodity market fundamentals such
as prices, volatility significantly. Therefore, the link between spot and
futures markets could structurally change following the financializa-
tion. To examine the role of trading volume, open interest and trader
positions on volatility spillover, we mainly employ Diebold and Yilmaz
(2012) method. This technique is critically advantageous over other
spillover tests since it helps one to understand the direction and time-
varying characteristics of spillover.
Our results can be summarized as follows. First of all, our findings
show that futures and spot markets have almost equal spillover impact
on the other, and hence no market is more dominant on the other. This
result is in line with the assertion that spot and futures market impound
information immediately, and no market is more dominant on the other

10
B.M. Ordu-Akkaya et al. Resources Policy xxx (xxxx) xxx–xxx

Fig. 8. Volatility network including trader types. Panel A – Gross spillovers. Panel B – Net spillovers. We present the volatility network between oil and gold markets based upon
Diebold-Yilmaz output. First we compute gross spillovers between Asset i and Asset j and take an average of these spillovers. If the average spillover is greater than 1 (which means
contribution of shocks in one of the assets to the others’ FEV is at least 1%), there is a significant spillover between these assets. If the net spillover is greater than 1
(NSij = GSj ← i − GSi ← j .), then we plot a uni-directional arrow, otherwise bi-directional arrow. Dashed line refers to the cross-commodity spillover and straight line refers to spillovers
between same commodity markets. CFUT and GFUT are continuous futures prices of crude oil and gold, respectively. CSPOT is the spot US dollar prices of WTI Cushing Oklahoma per
barrel and GSPOT is the spot gold bullion price per ounce. CMM (GMM), CSD (GSD) and CPU (GPU) are weekly open interest positions of Money Managers, Swap Dealers and Producers,
respectively.

(e.g., Alquist and Kilian, 2010; Nicolau and Palomba, 2015). Even
though, there are various studies showing gold and oil markets are
closely connected, results are dependent upon the sample period,
methodology employed etc. Our analyses indicate that while the re-
lationship between futures markets is bi-directional in oil and gold
markets, for spot market it is not, possibly due to the spillover effect of
speculators who invest only in futures market. Such bi-directional re-
lationship is further proven by Ewing and Malik (2013).
Extending the analysis via daily trading volume and open interest of
both futures markets, we find that there is a close relationship between
open interest and spot markets. Furthermore, trading volume provides
cross-market information, which might be implying investors investing
in crude oil and gold markets spill information to one another. This
finding partially resonates with Antonakakis et al. (2016); however we
should note that trading volume and open interest do not spill volatility
to futures or spot markets as it is argued in Hong and Yogo (2012).
Lastly, we conduct tests to examine the role of hedge funds, swap
dealers and producers’ positions on future-spot markets nexus. We find
evidence that positions of all traders and commodity markets are clo-
sely interconnected as financialization proponents argue (Basak and
Pavlova, 2016). Money manager positions of oil and gold are closely
linked, and their traders significantly spill volatility to the other market.
Time-varying spillover findings display that while gold money manager
positions have always been volatility receivers during the sample
period, crude oil money managers do not present such behavior. This
result resonates well with the related literature suggesting that fi-
nancialization of the commodity is dependent on the performance of
that specific commodity with respect to the S&P GSCI (e.g., Adams and
Glück, 2015).
These findings suggest that policy-makers do not need to put addi-
tional control mechanisms over speculators since they do not increase
volatilities in futures market. Moreover, trading volume and open in-
terest disclose information about the market, but they do not lead to an
excess volatility. As a matter of fact, sharing such information would
increase the transparency of the market. As a future direction of re-
search, researchers could examine cointegrating relationship between
abovementioned variables and for other selected group of commodities.
Since previous studies show financialization is dependent upon the
commodity (Gozgor et al., 2016; Ordu et al., 2017), results could sig-
nificantly change for other commodities. Moreover, we do not parti-
cularly examine underlying behavior for time-varying spillover indices
in our paper. One could look whether particular economic conditions,
business cycle or changes in trader behavior affects spillover char-
acteristics.

11
B.M. Ordu-Akkaya et al. Resources Policy xxx (xxxx) xxx–xxx

Fig. 9. Time varying net spillovers This figure gives time-varying net spillover of each variable against other variables. We calculate time-varying spillover via 200 rolling windows.
CFUT and GFUT are continuous futures prices of crude oil and gold, respectively. CSPOT is the spot US dollar prices of WTI Cushing Oklahoma per barrel and GSPOT is the spot gold
bullion price per ounce. CMM (GMM), CSD (GSD) and CPU (GPU) are weekly open interest positions of Money Managers, Swap Dealers and Producers, respectively.

12
B.M. Ordu-Akkaya et al.
Fig. 10. Money manager positions with respect to crude oil/gold prices. This figure
presents money manager open interest positions with respect to spot US dollar prices of
WTI Cushing Oklahoma per barrel and spot gold bullion price per ounce. LHS refers to the
left hand side.
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