Futures Turnover Waves
利用1993-2023年全球期货交易所数据，识别并研究期货合约交易量意外飙升的聚集现象（称为“交易量浪潮”），分析其频率、分布特征及跨资产类别和地区的共同发生情况。
ABSTRACT Using trade information over the 1993–2023 period from essentially the universe of futures exchanges spanning Asia, Europe, Latin America, and North America, we identify and examine periods of clustering or correlated occurrence of unexpected spikes in futures contract turnover, which we refer to as “turnover waves.” We investigate their frequency, distributional characteristics, and determinants along with the extent of their common occurrence both within and across various asset classes and geographic regions. We find that turnover waves are most frequently observed and are of the longest duration in Asia and in the energy asset class. We further find evidence of the common occurrence of waves across asset classes, notably within Asia, Europe, and Latin America. Across geographic regions, we find that concurrence is highest in the interest rate asset class. Finally, the initiation of waves is associated with increases in market policy uncertainty and asset class‐level volatility.