Research on the Correlation between China's Crude Oil Futures Market and Spot Market

2021 ◽  
Vol 9 (3) ◽  
pp. 52-55
Author(s):  
Yin Duan ◽  
Keyword(s):  
Crude Oil ◽  
Spot Market ◽  
Futures Market ◽  
Oil Futures ◽  
Crude Oil Futures

Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach

2020 ◽  
pp. 097265272092762
Author(s):  
M. Thenmozhi ◽  
Shipra Maurya
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Spot Market ◽  
Futures Market ◽  
Spot Price ◽  
Volatility Spillover ◽  
Oil Futures ◽  
Long Run ◽  
Short Run ◽  
Crude Oil Futures

This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country. Analysis of the short- and long-run dynamics of volatility in both spot and futures markets of maize, soybean and wheat and crude oil prices using the multivariate BEKK-GARCH model, indicate volatility spillover from wheat futures to crude oil futures in the short run and from crude oil futures to futures markets of maize, soybean and wheat in the long run. The spot market linkage of selected commodities is weaker compared to futures market, wherein maize spot volatility transmits to crude oil spot market in the longer period and no spillover between crude oil-food spot market is observed in the short run. The hedge ratios indicate that a dynamic hedging strategy is crucial for efficient risk management and the portfolio weights in futures market are more than the spot market. The results reveal that cross-market volatility spillover is more evident in the futures market, while own past conditional volatility is more significant in spot price discovery and risk transmission is evident among food commodities futures markets. JEL Codes: G13, G14, Q11, Q18, Q02

Time-varying market price of risk in the crude oil futures market

2010 ◽  
Vol 31 (8) ◽  
pp. 779-807 ◽  
Author(s):  
Ramaprasad Bhar ◽  
Damien Lee
Keyword(s):  
Crude Oil ◽  
Market Price ◽  
Futures Market ◽  
Time Varying ◽  
Market Price Of Risk ◽  
Oil Futures ◽  
Price Of Risk ◽  
Crude Oil Futures
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