Does Maturity Matter? The Case of Treasury Futures Volume
We argue that Treasury futures volume is generated by investors’ differences in beliefs about future economic activity and therefore contains information about the future economy and financial markets. However, short- and long-term volumes contain different information, consistent with the idea that agents with different levels of risk aversion dominate these different segments of the market. A relatively higher volume in short-term (long-term) Treasury futures is counter-cyclical (pro-cyclical), thus preceding worse (better) economic and financial conditions. We construct a single factor from trading volumes with different maturities that forecasts the performance of Treasuries, corporate debt, and equity, as well as macroeconomic conditions.
Chichernea, Doina; Crandall, Christopher P.; Huang, Kershen; and Petkevich, Alex, "Does Maturity Matter? The Case of Treasury Futures Volume" (2017). HCBE Faculty Articles. 1027.