Gas Does Affect Oil. Evidence from Intraday Prices and Inventory Announcements. Marketa W. Halova & Robert Rosenman. Washington State University
|
|
- Erin Hamilton
- 8 years ago
- Views:
Transcription
1 Gas Does Affect Oil Evidence from Intraday Prices and Inventory Announcements Marketa W. Halova & Robert Rosenman Washington State University 06/19/13
2 Overview Question: Do events in the natural gas market cause spillovers into the crude oil market? Previous empirical studies: Cointegration studies (Villar & Joutz 2006 and others) One-way causality (Pindyck 2004; Asche, Osmundsen & Sandsmark 2007) Our approach: 1. High-frequency price data (10-minute intervals) 2. Include inventory (U.S. weekly inventory announcements, i.e., specific events) Main result: Bi-directional causality between oil and gas markets
3 Data: Oil and gas futures intraday prices Oil and gas NYMEX futures prices Intraday data on individual trades 10-min interval Trading day: Mo-Fr 9:00 am-2:30 pm ET (33 intervals) 06/13/03-09/24/10 (54, min intervals on 1,826 days) Different maturities (1 mo-9 yrs for oil, 1 mo-12 yrs for gas) P k,j is price of k {O, G} at the end of 10-min interval j Dependent variable: R k,j = ln(p k,j ) ln(p k,j 1 ) (Ding, Granger & Engle 1993; Ederington & Lee 1993; Bollerslev, Cai & Song 2000 and others)
4 Data: Oil price volatility intraday pattern
5 Data: Oil and gas weekly inventory reports Assumes efficient markets, i.e., only the unanticipated component of news announcements matters Actuals: U.S. Department of Energy Financial Times 09/21/11: The U.S. is the world s largest oil consumer and its weekly petroleum status reports are closely watched. Oil: We 10:30 am Gas: Th 10:30 am Expectations: Bloomberg Survey of approx. 25 industry experts Median forecast Surprise in percentage terms k,j A k,j E k,j A k,j 100
6 Methodology: Accounting for asymmetry S kj < 0: A kj < E kj (Actual inventory is lower than what analysts expected) Analysts overforecast inventory Shortage S kj > 0: A kj > E kj (Actual inventory is higher than what analysts expected) Analysts underforecast inventory Glut
7 Methodology: Regression Regression: R j = α + Σ I i=1 β i R j i + Σ K k=1 ΣL l=0 γ kl S k,j l + +Σ K k=1 ΣL l=0 δ kl S k,j l I (S k,j l > 0) + Σ M m=1 θm{z m,j } + ε j (Andersen, Bollersev, Diebold & Vega 2003) Newey-West standard errors GARCH(1,1), GARCH(1,1) with t-distribution, GARCH-in-mean(1,1), EGARCH(1,1)
8 Methodology: Control variables Gasoline inventory Distillate inventory Refinery utilization Beginning-of-the-day dummy End-of-the-day dummy First-trading-day dummy Trader composition 3-month Treasury bill Volume
9 Results: Cross-commodity effect Table 1: Price volatility regressions for OIL nearby contract (1) (2) Oil shortage *** *** S O < 0 (.00066) (.00066) Oil glut *** *** S O > 0 (.00079) (.00079) Gas shortage *** S G < 0 (.00075) Gas glut *** S G > 0 (.00053) Gasoline shortage ** ** S Gasol < 0 (.00047) (.00047) Gasoline glut *** *** S Gasol > 0 (.00069) (.00069) Distillate shortage ** ** S D < 0 (.00067) (.00067) Distillate glut * * S D > 0 (.00053) (.00053) Beg-of-day dummy *** *** (.00026) (.00026) End-of-day dummy *** *** (.00009) (.00009) Trader composition *** *** (.00003) (.00003) T-bill rate *** *** (.00001) (.00001) Volume 1st lag *** *** (.00001) R j 1st lag *** *** (.01285) (.01287)
10 Results: Joint model of oil and gas price volatility Table 2: Joint model of OIL and GAS price volatility (SUR) Oil price volatility Gas price volatility Oil shortage *** ** S O < 0 (.00030) (.00042) Oil glut *** ** S O > 0 (.00030) (.00044) Gas shortage *** *** S G < 0 (.00061) (.00087) Gas glut *** *** S G > 0 (.00044) (.00064)
11 Results: Effect across maturities Table 3: Price volatility of OIL contracts with longer maturities Contract 1 Contract 2 Contract 3 Contract 4 Contract 5 Contract 6 Contract 7 Oil shortage *** *** *** ** *** * S < 0 (.00030) (.00026) (.00026) (.00028) (.00030) (.00031) (.00031) Oil glut *** *** *** *** *** *** *** S > 0 (.00031) (.00027) (.00027) (.00029) (.00031) (.00031) (.00032) Gas shortage *** *** ** * *** * e-06 S < 0 (.00062) (.00054) (.00054) (.00058) (.00063) (.00063) (.00065) Gas glut *** *** *** *** *** *** *** S > 0 (.00045) (.00040) (.00039) (.00042) (.00046) (.00046) (.00047) Table 4: Price volatility of GAS contracts with longer maturities Contract 1 Contract 2 Contract 3 Contract 4 Contract 5 Contract 6 Contract 7 Oil shortage ** ** *** *** ** S < 0 (.00043) (.00041) (.00038) (.00035) (.00035) (.00033) (.00034) Oil glut ** ** * S > 0 (.00044) (.00041) (.00038) (.00036) (.00036) (.00034) (.00035) Gas shortage *** *** *** *** *** *** *** S < 0 (.00088) (.00083) (.00077) (.00072) (.00073) (.00069) (.00070) Gas glut *** *** *** *** *** *** *** S > 0 (.00064) (.00061) (.00056) (.00052) (.00053) (.00050) (.00051)
12 Results: Robustness checks Structural breaks Business cycle O and G price returns O and G price volatility O and G inventory Gasoline and distillate inventory Seasonality Lagged cross-commodity terms Chicago Board Options Exchange Volatility Index (VIX)
13 Results: Summary Cross-commodity effect (Two-way causality supports theory) Long-term effect (Effect across futures contracts maturities)
14 Why are these results important? Understand relationship between the two largest energy sources and futures markets Impact on financial institutions Spillovers from oil market to financial markets Increasingly important due to new gas discoveries
Gas Does Affect Oil:
Gas Does Affect Oil: Evidence from Intraday Prices and Inventory Announcements (JOB MARKET PAPER) Marketa W. Halova January 19, 2012 Abstract Do events in the natural gas market cause repercussions in
More informationModelling Intraday Volatility in European Bond Market
Modelling Intraday Volatility in European Bond Market Hanyu Zhang ICMA Centre, Henley Business School Young Finance Scholars Conference 8th May,2014 Outline 1 Introduction and Literature Review 2 Data
More informationMARKETA HALOVA WOLFE
Department of Economics Skidmore College Harder Hall 204D Phone: +1-518-580-8374 815 N Broadway Email: mwolfe@skidmore.edu Saratoga Springs, NY 12866 http://www.skidmore.edu/economics/faculty/wolfe.php
More informationWhat Drives Natural Gas Prices?
What Drives Natural Gas Prices? Stephen P. A. Brown and Mine K. Yücel* For many years, fuel switching between natural gas and residual fuel oil kept natural gas prices closely aligned with those for crude
More informationImpact of European and American Business Cycle News on Euronext Trading
INTERNATIONAL JOURNAL OF BUSINESS, 14(2), 2009 ISSN: 1083 4346 Impact of European and American Business Cycle News on Euronext Trading Stéphane Dubreuille a* and Huu Minh Mai a,b a Reims Management School,
More informationBayesian Learning in Financial Markets Testing for the Relevance of Information Precision in Price Discovery
CFR-Working Paper NO. 04-10 Bayesian Learning in Financial Markets Testing for the Relevance of Information Precision in Price Discovery N. Hautsch D. Hess Bayesian Learning in Financial Markets - Testing
More informationApplication of Demand Analysis Framework to Understand the Price and Volume Movements of Exchange Traded Funds (ETFs)
Application of Demand Analysis Framework to Understand the Price and Volume Movements of Exchange Traded Funds (ETFs) Chengcheng Fei Department of Agricultural Economics Texas A&M University feiccheng@tamu.edu
More informationDo Banks Buy and Sell Recommendations Influence Stock Market Volatility? Evidence from the German DAX30
Do Banks Buy and Sell Recommendations Influence Stock Market Volatility? Evidence from the German DAX30 forthcoming in European Journal of Finance Abstract We investigate the impact of good and bad news
More informationIS THERE ANY CRUCIAL RELATIONSHIP AMONGST ENERGY COMMODITY PRICES AND PRICE VOLATILITIES IN THE U.S.?
IS THERE ANY CRUCIAL RELATIONSHIP AMONGST ENERGY COMMODITY PRICES AND PRICE VOLATILITIES IN THE U.S.? Dr. Alok Kumar Mishra Assistant Professor School of Economics, University of Hyderabad ABSTRACT: The
More informationLead-lag relationship between spot and futures stock indexes: Intraday data and Regime Switching Models.
Lead-lag relationship between spot and futures stock indexes: Intraday data and Regime Switching Models. Introduction A key question in finance is the lead lag relationship between spot and futures markets.
More informationCENTRAL BANK COMMUNICATIONS
CENTRAL BANK COMMUNICATIONS AND EQUITY ETFS TAO WANG JIAN YANG* JINGTAO WU This article examines effects of monetary policy surprises on returns, volatilities, trading volumes, and bid ask spread of two
More informationInterpreting Market Responses to Economic Data
Interpreting Market Responses to Economic Data Patrick D Arcy and Emily Poole* This article discusses how bond, equity and foreign exchange markets have responded to the surprise component of Australian
More informationIntraday Volatility Analysis on S&P 500 Stock Index Future
Intraday Volatility Analysis on S&P 500 Stock Index Future Hong Xie Centre for the Analysis of Risk and Optimisation Modelling Applications Brunel University, Uxbridge, UB8 3PH, London, UK Tel: 44-189-526-6387
More informationDo Heating Oil Prices Adjust Asymmetrically To Changes In Crude Oil Prices Paul Berhanu Girma, State University of New York at New Paltz, USA
Do Heating Oil Prices Adjust Asymmetrically To Changes In Crude Oil Prices Paul Berhanu Girma, State University of New York at New Paltz, USA ABSTRACT This study investigated if there is an asymmetric
More informationThe Informational Association between the S&P 500 Index Options and VIX Options Markets
The Informational Association between the S&P 500 Index Options and VIX Options Markets ABSTRACT We set out in this study to investigate the informational association between the S&P 500 index and VIX
More informationThe Information Efficiency of the Corporate Bond Market
Singapore Management University Institutional Knowledge at Singapore Management University Dissertations and Theses Collection (Open Access) Dissertations and Theses 2006 The Information Efficiency of
More informationAn empirical examination of the intraday volatility in euro dollar rates
The Quarterly Review of Economics and Finance 44 (2004) 44 57 An empirical examination of the intraday volatility in euro dollar rates Ken B. Cyree a, Mark D. Griffiths b,, Drew B. Winters c a Texas Tech
More informationA Time Series Analysis of the Chicago Board Options Exchange Volatility Index (VIX)
A Time Series Analysis of the Chicago Board Options Exchange Volatility Index (VIX) Thomas Koundakjian Ryan Liebert December 6, 2014 Background Purpose of Study Chicago Board Options Exchange (CBOE) Volatility
More informationWeather, Storage, and Natural Gas Price Dynamics: Fundamentals and Volatility
Working paper Weather, Storage, and Natural Gas Price Dynamics: Fundamentals and Volatility Xiaoyi Mu Department of Economics University of Oklahoma Norman, OK 73019 Email: xiaoyimu@ou.edu December 2004
More informationFinancial Text Mining
Enabling Sophisticated Financial Text Mining Calum Robertson Research Analyst, Sirca Background Data Research Strategies Obstacles Conclusions Overview Background Efficient Market Hypothesis Asset Price
More informationAnalysis of Whether the Prices of Renewable Fuel Standard RINs Have Affected Retail Gasoline Prices
Analysis of Whether the Prices of Renewable Fuel Standard RINs Have Affected Retail Gasoline Prices A Whitepaper Prepared for the Renewable Fuels Association Key Findings Changes in prices of renewable
More informationEconomic News and Stock Market Linkages: Evidence from the U.S., U.K., and Japan *
Economic News and Stock Market Linkages: Evidence from the U.S., U.K., and Japan * Robert A. Connolly University of North Carolina at Chapel Hill F. Albert Wang Columbia University Abstract This paper
More informationPhysical Market Conditions, Paper Market Activity and the WTI-Brent Spread. Discussion by: Lutz Kilian University of Michigan
Physical Market Conditions, Paper Market Activity and the WTI-Brent Spread Discussion by: Lutz Kilian University of Michigan Crude Oil is Not Perfectly Homogeneous Differences in: - Composition - Location
More informationReview of Financial Economics
Review of Financial Economics 23 (2014) 217 226 Contents lists available at ScienceDirect Review of Financial Economics journal homepage: www.elsevier.com/locate/rfe Business cycle, storage, and energy
More informationMeasuring Historical Volatility
Measuring Historical Volatility Louis H. Ederington University of Oklahoma Wei Guan University of South Florida St. Petersburg August 2004 Contact Info: Louis Ederington: Finance Division, Michael F. Price
More informationBoard of Governors of the Federal Reserve System. International Finance Discussion Papers. Number 863. June 2006
Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 863 June 2006 Transmission of Volatility and Trading Activity in the Global Interdealer Foreign Exchange
More informationPredicting financial volatility: High-frequency time -series forecasts vis-à-vis implied volatility
Predicting financial volatility: High-frequency time -series forecasts vis-à-vis implied volatility Martin Martens* Erasmus University Rotterdam Jason Zein University of New South Wales First version:
More informationThe Response of U.S. Natural Gas Futures and Spot Prices to Storage Change Surprises and the Effect of Escalating Physical Gas Production
The Response of U.S. Natural Gas Futures and Spot Prices to Storage Change Surprises and the Effect of Escalating Physical Gas Production Song Zan Chiou-Wei Department of Economics, Nan-Hua University,
More informationMacro News Announcements and Automated Trading
Macro News Announcements and Automated Trading Richard Haynes John S. Roberts December 18, 2015 Introduction A previous white paper by the authors considered the prevalence, and characteristics, of automated
More informationWhat Drives International Equity Correlations? Volatility or Market Direction? *
Working Paper 9-41 Departamento de Economía Economic Series (22) Universidad Carlos III de Madrid June 29 Calle Madrid, 126 2893 Getafe (Spain) Fax (34) 916249875 What Drives International Equity Correlations?
More informationHow To Analyze The Time Varying And Asymmetric Dependence Of International Crude Oil Spot And Futures Price, Price, And Price Of Futures And Spot Price
Send Orders for Reprints to reprints@benthamscience.ae The Open Petroleum Engineering Journal, 2015, 8, 463-467 463 Open Access Asymmetric Dependence Analysis of International Crude Oil Spot and Futures
More informationGlobal stock market reactions to scheduled U.S. macroeconomic news announcements
Global Finance Journal 17 (2006) 92 104 Global stock market reactions to scheduled U.S. macroeconomic news announcements Jussi Nikkinen a, Mohammed Omran b, Petri Sahlström c,, Janne Äijö a a University
More informationThe Impact of Index Futures on Spot Market Volatility in China
The Impact of Index Futures on Spot Market Volatility in China Shiqing Xie and Jiajun Huang ABSTRACT: Using daily data of the China Securities Index (CSI) 300 between 005 and 0, we employ a set of GARCH
More informationFixed Income Market Comments
Strategy Fixed Income Weekly Fixed Income Market Comments Yields moved higher last week as the final reading of second quarter economic growth (GDP) was higher than expected at 3.9% (forecast at 3.7%)
More informationFour Essays on the Empirical Properties of Stock Market Volatility
Four Essays on the Empirical Properties of Stock Market Volatility Thesis Presented to the Faculty of Economics and Social Sciences of the University of Fribourg (Switzerland) in fulfillment of the requirements
More informationThe Price Impact of Economic News, Private Information and Trading Intensity
The Price Impact of Economic News, Private Information and Trading Intensity Paola Paiardini Preliminary and incomplete Abstract In this paper we use three years high-frequency data to investigate the
More informationThe High-Frequency Response of Energy Prices to Monetary Policy: Understanding the Empirical Evidence
Federal Reserve Bank of New York Staff Reports The High-Frequency Response of Energy Prices to Monetary Policy: Understanding the Empirical Evidence Carlo Rosa Staff Report No. 598 February 2013 FRBNY
More informationStock Market Volatility and the Business Cycle
Burkhard Raunig, Johann Scharler 1 Refereed by: Johann Burgstaller, Johannes Kepler University Linz In this paper we provide a review of the literature on the link between stock market volatility and aggregate
More informationNew York Science Journal 2013;6(11) http://www.sciencepub.net/newyork
Study of short term relation between volatility in crude oil spot and future markets Ensieh Shojaeddini 1, Shahram Golestani 2 1. Faculty of Economic, University of Tehran, Tehran, Iran, 2. Faculty of
More informationAgenda. Petroleum Management
Petroleum Management 1 Agenda Energy Advantage Background - Petroleum Fuels Market Petroleum Procurement Services Background - Hedging/Risk Management Canadian Petroleum Market Correlation and basis differential
More informationThe information content of implied volatility indexes for forecasting volatility and market risk
The information content of implied volatility indexes for forecasting volatility and market risk Pierre Giot December 17, 2002 The author is from Department of Business Administration & CEREFIM at University
More informationINDIAN INSTITUTE OF MANAGEMENT CALCUTTA WORKING PAPER SERIES. WPS No. 688/ November 2011. Realized Volatility and India VIX
INDIAN INSTITUTE OF MANAGEMENT CALCUTTA WORKING PAPER SERIES WPS No. 688/ November 2011 Realized Volatility and India VIX by Ashok Banerjee Professor, IIM Calcutta, Joka, Diamond Harbour Road, Kolkata
More informationCREATES Research Paper 2007-20. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
CREATES Research Paper 2007-20 Real- Price Discovery in Global Stock, Bond and Foreign Exchange Markets Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega School of Economics and Management
More informationCommunicating with Many Tongues: FOMC Speeches and U.S. Financial Market Reaction
Communicating with Many Tongues: FOMC Speeches and U.S. Financial Market Reaction Bernd Hayo*, Ali M. Kutan + and Matthias Neuenkirch* *Philipps-University Marburg + Southern Illinois University Edwardsville
More informationThe realized volatility of FTSE-100 futures prices
The realized volatility of FTSE-100 futures prices Nelson M.P.C. Areal Stephen J. Taylor areal@exchange.lancs.ac.uk S.Taylor@lancaster.ac.uk Department of Accounting and Finance Lancaster University England
More informationEnergy Price Risk Modelling
MSc Finance Louise Daugaard Jensen & Margrethe Nhu Le Pham Supervised by Asger Lunde Energy Price Risk Modelling Forecasting energy spot prices and measuring cash flow risk September 2013 School of Business
More informationAn Analysis of the Increase of Natural Gas Production from 2007-2010: Specific Causes and Implications
An Analysis of the Increase of Natural Gas Production from 2007-2010: Specific Causes and Implications By Sonali Mittal An honors thesis submitted in partial fulfillment of the requirements for the degree
More informationPotential research topics for joint research: Forecasting oil prices with forecast combination methods. Dean Fantazzini.
Potential research topics for joint research: Forecasting oil prices with forecast combination methods Dean Fantazzini Koper, 26/11/2014 Overview of the Presentation Introduction Dean Fantazzini 2 Overview
More informationThe Influence of Crude Oil Price on Chinese Stock Market
The Influence of Crude Oil Price on Chinese Stock Market Xiao Yun, Department of Economics Pusan National University 2,Busandaehak-ro 63beon-gil, Geumjeong-gu, Busan 609-735 REPUBLIC OF KOREA a101506e@nate.com
More informationDynamic Relationship between Interest Rate and Stock Price: Empirical Evidence from Colombo Stock Exchange
International Journal of Business and Social Science Vol. 6, No. 4; April 2015 Dynamic Relationship between Interest Rate and Stock Price: Empirical Evidence from Colombo Stock Exchange AAMD Amarasinghe
More informationImplied volatility indices as leading indicators of stock index returns?
Implied volatility indices as leading indicators of stock index returns? Pierre Giot September 19, 2002 ABSTRACT This paper shows that, when the VIX or VXN indices of implied volatility increase, the S&P100
More informationResearchers have long sought to understand
A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps Christopher J. Neely This article reviews, evaluates, and links research that studies foreign exchange volatility reaction to macro
More informationBid-Ask Spread, Futures Market Sentiment and Exchange Rate Returns
Journal of Economic Cooperation and Development, 33, 4 (2012), 63-85 Bid-Ask Spread, Futures Market Sentiment and Exchange Rate Returns M. Faisal Safa 1 and Neal C. Maroney This paper analyzes spot foreign
More informationLiquidity in U.S. Treasury spot and futures markets
Liquidity in U.S. Treasury spot and futures markets Michael Fleming and Asani Sarkar* Federal Reserve Bank of New York 33 Liberty Street New York, NY 10045 (212) 720-6372 (Fleming) (212) 720-8943 (Sarkar)
More informationDo broker/analyst conflicts matter? Detecting evidence from internet trading platforms
1 Introduction Do broker/analyst conflicts matter? Detecting evidence from internet trading platforms Jan Hanousek 1, František Kopřiva 2 Abstract. We analyze the potential conflict of interest between
More informationCommodity Prices and Currency Rates: An Intraday Analysis
Vol 3, No.4, Winter 2011 Pages 25~48 Commodity Prices and Currency Rates: An Intraday Analysis Yiuman Tse a, Lin Zhao b a Department of Finance, University of Texas at San Antonio b Lin Zhao, Department
More informationImpact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive *
1 Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive * Jussi Nikkinen University of Vaasa, Finland Petri Sahlström University of Vaasa, Finland This study
More informationOil Price and Korean Economy
Oil Price and Korean Economy April 17, 2015 Jaerang Lee - Contents - I. Oil Price Outlook II. Effects on Korean Economy III. Conclusion I. Oil Price Outlook Oil prices have lowered to around mid 50 dollars
More informationBooth School of Business, University of Chicago Business 41202, Spring Quarter 2015, Mr. Ruey S. Tsay. Solutions to Midterm
Booth School of Business, University of Chicago Business 41202, Spring Quarter 2015, Mr. Ruey S. Tsay Solutions to Midterm Problem A: (30 pts) Answer briefly the following questions. Each question has
More informationNBER WORKING PAPER SERIES THE PREDICTIVE CONTENT OF ENERGY FUTURES: AN UPDATE ON PETROLEUM, NATURAL GAS, HEATING OIL AND GASOLINE
NBER WORKING PAPER SERIES THE PREDICTIVE CONTENT OF ENERGY FUTURES: AN UPDATE ON PETROLEUM, NATURAL GAS, HEATING OIL AND GASOLINE Menzie D. Chinn Michael LeBlanc Olivier Coibion Working Paper 11033 http://www.nber.org/papers/w11033
More informationThe day of the week effect on stock market volatility and volume: International evidence
Review of Financial Economics 12 (2003) 363 380 The day of the week effect on stock market volatility and volume: International evidence Halil Kiymaz a, *, Hakan Berument b a Department of Finance, School
More informationSerhat YANIK* & Yusuf AYTURK*
LEAD-LAG RELATIONSHIP BETWEEN ISE 30 SPOT AND FUTURES MARKETS Serhat YANIK* & Yusuf AYTURK* Abstract The lead-lag relationship between spot and futures markets indicates which market leads to the other.
More informationHow a Gas Tax Increase Affects the Retail Pump Price
How a Gas Tax Increase Affects the Retail Pump Price An Economic Analysis of 2013-14 Market Impacts in 5 States Dr. Alison Premo Black Senior Vice President & Chief Economist American Road & Transportation
More informationThe imprecision of volatility indexes
The imprecision of volatility indexes Rohini Grover Ajay Shah IGIDR Finance Research Group May 17, 2014 Volatility indexes The volatility index (VIX) is an implied volatility estimate that measures the
More informationThe Round-the-Clock Market for U.S. Treasury Securities
The Round-the-Clock Market for U.S. Treasury Securities Michael J. Fleming The U.S. Treasury securities market is one of the most important financial markets in the world. Treasury bills, notes, and bonds
More informationThe impact of information flow and trading activity on gold and oil futures volatility
NCER Working Paper Series The impact of information flow and trading activity on gold and oil futures volatility A E Clements N Todorova Working Paper #102 June 2014 The impact of information flow and
More informationHow To Model Market Volatility
The Lahore Journal of Business 1:1 (Summer 2012): pp. 79 108 Modeling and Forecasting the Volatility of Oil Futures Using the ARCH Family Models Tareena Musaddiq Abstract This study attempts to model and
More informationVolatility Spillovers Between Energy and Agricultural Markets in Theory and Practice
21st International Congress on Modelling and Simulation, Gold Coast, Australia, 29 Nov to 4 Dec 2015 www.mssanz.org.au/modsim2015 Volatility Spillovers Between and Markets in Theory and Practice Chang,
More informationCo-integration in Crude Oil Components... the Pricing of Crack Spread Options
Co-integration in Crude Oil Components and the Pricing of Crack Spread Options Jin-Chuan Duan & Annie Theriault Risk Management Institute and Dept of Finance, National U of Singapore bizdjc@nus.edu.sg
More informationShort-Term Energy Outlook Market Prices and Uncertainty Report
February 2016 Short-Term Energy Outlook Market Prices and Uncertainty Report Crude Oil Prices: The North Sea Brent front month futures price settled at $34.46/b on February 4 $2.76 per barrel (b) below
More informationFinancial Econometrics and Volatility Models Introduction to High Frequency Data
Financial Econometrics and Volatility Models Introduction to High Frequency Data Eric Zivot May 17, 2010 Lecture Outline Introduction and Motivation High Frequency Data Sources Challenges to Statistical
More informationFutures Market Failure? Philip Garcia, Scott H. Irwin, and Aaron Smith ONLINE APPENDIX
Futures Market Failure? Philip Garcia, Scott H. Irwin, and Aaron Smith ONLINE APPENDIX Appendix 1. Data Used in Regression Analysis We use data from 1986-2013 for the CBOT contracts and 1990-2013 for the
More informationTrading volume and volatility of stock market returns: High-frequency. evidence from Indonesia
Trading volume and volatility of stock market returns: High-frequency evidence from Indonesia Haryadi Haryadi a,b,1, Terrence Hallahan a, Hassan Tanha a a College of Business, Victoria University, Melbourne,
More informationThe Effects of Uncertainty and Inventory Management in Thailand
International Journal of Energy Economics and Policy Vol. 4, No. 3, 2014, pp.380-390 ISSN: 2146-4553 www.econjournals.com The Effects of Uncertainties on Inventory Management of Petroleum Products: A Case
More informationLiquidity of Corporate Bonds
Liquidity of Corporate Bonds Jack Bao, Jun Pan and Jiang Wang MIT October 21, 2008 The Q-Group Autumn Meeting Liquidity and Corporate Bonds In comparison, low levels of trading in corporate bond market
More informationPrice volatility in the silver spot market: An empirical study using Garch applications
Price volatility in the silver spot market: An empirical study using Garch applications ABSTRACT Alan Harper, South University Zhenhu Jin Valparaiso University Raufu Sokunle UBS Investment Bank Manish
More informationAsyl Bakanova. The futures price volatility in the crude oil market
Asyl Bakanova The futures price volatility in the crude oil market Submitted for the degree of Ph.D. in Economics at Faculty of Economics University of Lugano Lugano, Switzerland Thesis Committee: Prof.
More informationCURRICULUM VITAE Tim Bollerslev
CURRICULUM VITAE Tim Bollerslev Personal Information: Date and place of birth: Marital status: Citizenship: May 11, 1958, Copenhagen, Denmark. Married with three children. Danish; U.S. Permanent Resident.
More informationQuantile Regression for Peak Demand Forecasting
Quantile Regression for Peak Demand Forecasting Charlie Gibbons Ahmad Faruqui July 1, 2014 Copyright 2013 The Brattle Group, Inc. Outline Approaches to forecasting peak demand Our empirical approach OLS
More informationCrude Oil: What every investor needs to know By Andy Hecht
Crude Oil: What every investor needs to know By Andy Hecht Crude oil is considered by many to be the most important commodity market in the world. The value of crude oil affects almost every individual
More informationThe Evolution of Price Discovery in US Equity and Derivatives Markets
The Evolution of Price Discovery in US Equity and Derivatives Markets Damien Wallace, Petko S. Kalev and Guanghua (Andy) Lian Centre for Applied Financial Studies, School of Commerce, UniSA Business School,
More informationLiquidity and the Evolution of Price Discovery on Floor versus Screen- Based Trading Systems: An Analysis of the Foreign Exchange Futures Markets
Liquidity and the Evolution of Price Discovery on Floor versus Screen- Based Trading Systems: An Analysis of the Foreign Exchange Futures Markets By Aysegul Ates and George H. K. Wang This Version, May,
More informationseasonal causality in the energy commodities
PROFESSIONAL BRIEFING aestimatio, the ieb international journal of finance, 2011. 3: 02-9 2011 aestimatio, the ieb international journal of finance seasonal causality in the energy commodities Díaz Rodríguez,
More informationInvestors and Central Bank s Uncertainty Embedded in Index Options On-Line Appendix
Investors and Central Bank s Uncertainty Embedded in Index Options On-Line Appendix Alexander David Haskayne School of Business, University of Calgary Pietro Veronesi University of Chicago Booth School
More informationASX 30-Day Interbank Futures
ASX 30-Day Interbank Futures Investigating the process of price discovery following RBA cash Lee A. Smales University of New South Wales (UNSW) School of Banking and Finance l.smales@unsw.edu.au The article
More informationThe Relationship Between International Equity Market Behaviour and the JSE
The Relationship Between International Equity Market Behaviour and the JSE Nick Samouilhan 1 Working Paper Number 42 1 School of Economics, UCT The Relationship Between International Equity Market Behaviour
More informationA Meta Analysis of U.S. Residential, Industrial, and Commercial Electricity Demand
A Meta Analysis of U.S. Residential, Industrial, and Commercial Electricity Demand Prepared for the 31 st st USAEE/IAEE North American Conference Nov. 7, 1 - Austin, Texas By Carol Dahl Division of Economics
More informationMinute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information. Abstract
Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information Suk-Joong Kim School of Banking and Finance The University of New South Wales Australia Jeffrey
More informationA Regression Model of Natural Gas/Wholesale Electricity Price Relationship and Its Application for Detecting Potentially Anomalous Electricity Prices
A Regression Model of Natural Gas/Wholesale Electricity Price Relationship and Its Application for Detecting Potentially Anomalous Electricity Prices Young Yoo (young.yoo@ferc.gov) Bill Meroney (william.meroney@ferc.gov)
More informationElectrical energy usage over the business cycle
Energy Economics 26 (2004) 463 485 www.elsevier.com/locate/eneco Electrical energy usage over the business cycle Mark Thoma* Department of Economics, University of Oregon, Eugene, OR 97403-1285, USA Available
More informationThe Predictive Content of Commodity Futures
Forthcoming, Journal of Futures Markets The Predictive Content of Commodity Futures Menzie D. Chinn University of Wisconsin, Madison and NBER Olivier Coibion University of Texas, Austin IMF and NBER This
More information2011 Page 98. The Crude Oil Price Shock and its Conditional Volatility: The Case of Nigeria. Charles Uche Ugwuanyi
The Crude Oil Price Shock and its Conditional Volatility: The Case of Nigeria Charles Uche Ugwuanyi Abstract The impact of the Nigerian crude oil price shock and its conditional volatility was tested in
More informationVOLATILITY TRANSMISSION ACROSS THE TERM STRUCTURE OF SWAP MARKETS: INTERNATIONAL EVIDENCE
VOLATILITY TRANSMISSION ACROSS THE TERM STRUCTURE OF SWAP MARKETS: INTERNATIONAL EVIDENCE Pilar Abad Alfonso Novales L March ABSTRACT We characterize the behavior of volatility across the term structure
More information9 Hedging the Risk of an Energy Futures Portfolio UNCORRECTED PROOFS. Carol Alexander 9.1 MAPPING PORTFOLIOS TO CONSTANT MATURITY FUTURES 12 T 1)
Helyette Geman c0.tex V - 0//0 :00 P.M. Page Hedging the Risk of an Energy Futures Portfolio Carol Alexander This chapter considers a hedging problem for a trader in futures on crude oil, heating oil and
More informationThe Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data
The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data Jonathan Kearns and Phil Manners Reserve Bank of Australia We investigate the impact of monetary policy on the exchange rate
More informationThe International College of Economics and Finance
The International College of Economics and Finance Lecturer: Sergey Gelman Class Teacher: Alexander Kostrov Course Discription Syllabus Financial Econometrics (Econometrics II) Financial Econometrics is
More informationCrude Oil Price Forecasting Techniques: a Comprehensive Review of Literature
RESEARCH REVIEW Research Review CAIA Research Member Review Contribution Crude Oil Price Forecasting Techniques: a Comprehensive Review of Literature Niaz Bashiri Behmiri and José R. Pires Manso 30 1.
More informationNonfarm Payrolls Jump 321K in November
Economic Analysis Nonfarm Payrolls Jump 321K in November Kim Fraser Chase Employment growth was a jaw-dropper in November, up an astounding 321K following a revised 243K gain in October. This marks the
More informationPre-Announcement Effects, News, and Volatility: Monetary Policy and the Stock Market
Pre-Announcement Effects, News, and Volatility: Monetary Policy and the Stock Market Antulio N. Bomfim * First Draft: December 1999 This Draft: October 25, 2000 Abstract I examine pre-announcement and
More informationFrom Saving to Investing: An Examination of Risk in Companies with Direct Stock Purchase Plans that Pay Dividends
From Saving to Investing: An Examination of Risk in Companies with Direct Stock Purchase Plans that Pay Dividends Raymond M. Johnson, Ph.D. Auburn University at Montgomery College of Business Economics
More information