The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility

2009 ◽  
Vol 20 (3) ◽  
pp. 209-219 ◽  
Author(s):  
Ronald D. Ripple ◽  
Imad A. Moosa
Keyword(s):  
Crude Oil ◽  
Trading Volume ◽  
Open Interest ◽  
Oil Futures ◽  
Price Range ◽  
Crude Oil Futures ◽  
Futures Price

scholarly journals Modeling and Forecasting the Volatility of Oil Futures Using the ARCH Family Models

2012 ◽  
Vol 1 (1) ◽  
pp. 79-108
Author(s):  
Tareena Musaddiq
Keyword(s):  
Crude Oil ◽  
Trading Volume ◽  
Futures Trading ◽  
Open Interest ◽  
Oil Futures ◽  
Asymmetric Effects ◽  
Modeling And Forecasting ◽  
Crude Oil Futures ◽  
Family Models

This study attempts to model and forecast the volatility of light, sweet, crude oil futures trading at the NYMEX during 1998–2009, using various models from the ARCH family. The results reveal that the GJR-GARCH (1,2) model is best suited to forecast purposes. The fitted models also suggest the presence of asymmetric effects in the data. The study also reveals that trading volume and open interest do not reduce the persistence of volatility for these oil futures.

scholarly journals Research on the Correlation Between WTI Crude Oil Futures Price and European Carbon Futures Price

2021 ◽  
Vol 9 ◽  
Author(s):  
Zhengwei Ma ◽  
Yuxin Yan ◽  
Ruotong Wu ◽  
Feixiao Li
Keyword(s):  
Crude Oil ◽  
Carbon Emission ◽  
Mutual Effect ◽  
Futures Prices ◽  
Price Fluctuation ◽  
Oil Futures ◽  
Sea Levels ◽  
Crude Oil Futures ◽  
Futures Price ◽  
Emission Rights

In recent years, the rapid increase in CO2 concentration has accelerated global warming. As a result, sea levels rise, glaciers melt, extreme weather occurs, and species become extinct. As the world’s largest CO2 emission rights trading market, EU Emissions Trading System (EU-ETS) has reached 1.855 billion tons of quotas by 2019, influencing the development of the global carbon emission market. Crude oil, as one of the major fossil energy sources in the world, its price fluctuation is bound to affect the price of carbon emission rights. Therefore, this paper aims to reveal the correlation between crude oil futures prices and carbon emission rights futures prices by studying the price fluctuation. In this paper, the linkage between West Texas Intermediate (WTI) crude oil futures prices and European carbon futures prices was investigated. In addition, this paper selects continuous data of WTI crude oil futures prices and spot prices with European carbon futures prices from January 8, 2018 to November 27, 2020, and builds a smooth transformation regression (STR) model. The relationship between crude oil futures and carbon futures prices is studied in both forward and reversal linkage through empirical analysis. The results show that crude oil futures prices and carbon futures prices have a mutual effect on each other, and both linear and nonlinear correlations between the two prices exist. Based on the results of this research, some suggestions are provided.

Trading volume and return relationship in the crude oil futures markets

2014 ◽  
Vol 31 (4) ◽  
pp. 426-438 ◽  
Author(s):  
Saada Abba Abdullahi ◽  
Reza Kouhy ◽  
Zahid Muhammad
Keyword(s):  
Crude Oil ◽  
Information Flow ◽  
Trading Volume ◽  
Futures Markets ◽  
Positive Relationship ◽  
Generalized Method Of Moments ◽  
Oil Futures ◽  
Content Type ◽  
Oil Markets ◽  
Crude Oil Futures

Purpose – The purpose of this paper is to examine the relationship between trading volume and returns in the West Texas Intermediate (WTI) and Brent crude oil futures markets. In so doing, the paper addresses two important issues. First, whether there is a positive relationship between returns and trading volume in the crude oil futures markets. Second, whether information regarding trading volume contributes to forecasting the magnitude of return in the markets, an important issue because the ability of trading volume to predict returns imply market inefficiency. Design/methodology/approach – The paper used daily closing futures price and their corresponding trading volumes for WTI and Brent crude oil markets during the sample period January 2008 to May 2011. Both the log volume and the unexpected component of the detrended volume are used in the analysis in other to have robust alternative conclusion. The generalized method of moments (GMM) approach is used to examine the contemporaneous relationship between returns and trading volume while the Granger causality approach, impulse response and variance decomposition analysis are used to investigate the ability of trading volume to predict returns in the oil futures markets. Findings – The results reject the postulation of a positive relationship between trading volume and returns, suggesting that trading volume and returns are not driven by the same information flow which contradicts the mixture of distribution hypothesis in all markets. The results also show that neither trading volume nor returns have the power to predict the other and therefore contradicting the sequential arrival hypothesis and noise trader model in all markets. Finally, the findings support the weak form efficient market hypothesis in the crude oil futures markets. Originality/value – The findings has important implications to market regulators because daily price movement and trading volume do not respond to the same information flow and therefore the measures that control price volatility should not focused more on volume; otherwise they may not provide fruitful outcomes. Additionally, traders and investors who participate in oil futures should not base their decisions on past trading volume because it will lead to profit loss. The results also have implications for market efficiency as past information cannot assist speculators to forecast returns in all the oil markets. Finally, investors can benefit from portfolio diversification across the two markets.

scholarly journals Volatility Spillover Effect of International Crude Oil Futures and China-Russia Stock Market: A Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution Analysis

2019 ◽  
Vol 11 (1) ◽  
pp. 183
Author(s):  
Maoguo Wu ◽  
Daimin Lu
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Explanatory Power ◽  
Composite Index ◽  
Spillover Effect ◽  
Stock Index ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
Futures Price ◽  
Volatility Spillover Effect

The increasingly prominent strategic position of crude oil determines its high impact on macro-economy. The value of crude oil is reflected in the price of crude oil futures. Stock market is the barometer of macro economy. To what extent does international crude oil futures price affect stock market? China and Russia are the biggest importer and exporter of crude oil, respectively. Crude oil is of strategic value to both countries. This study empirically investigates the volatility spillover effect of international crude oil futures and China-Russia stock market from April 24th, 2015 to April 20th, 2018, based on the data of international crude oil futures prices, China-Russia stock market composite index, and industry stock index. The empirical results show that there is a short-term relationship between China-Russia stock market composite index and international crude oil futures price. The international crude oil futures price has a greater explanatory power to Russian RTS index, but a smaller explanatory power to Shanghai composite index. All industry stock indices are cointegrated with international crude oil futures prices. Except for China industry and Russia energy, the adjustment coefficient of international crude oil futures price on stock index volatility of other industries is insignificant. This study mainly studies the relationship between international crude oil futures price and the comprehensive stock index and industry stock index of China and Russia, and compares the impact of international crude oil futures price on the stock market of the largest importer and the largest exporter of crude oil to explore the linkage between crude oil futures price and stock market, and puts forward policy implications based on the empirical results.

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