scholarly journals PRICE DISCOVERY IN CRUDE OIL MARKETS: INTRADAY VOLATILITY INTERACTIONS BETWEEN CRUDE OIL FUTURES AND ENERGY EXCHANGE TRADED FUNDS

2020 ◽  
Vol 10 (3) ◽  
pp. 402-413
Author(s):  
Caner Ozdurak ◽  
Veysel Ulusoy
Keyword(s):  
Crude Oil ◽  
Energy Exchange ◽  
Price Discovery ◽  
Exchange Traded Funds ◽  
Oil Futures ◽  
Oil Markets ◽  
Crude Oil Futures ◽  
Intraday Volatility

scholarly journals Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process

2020 ◽  
Vol 23 (2) ◽  
pp. 393-407
Author(s):  
Keshab Shrestha ◽  
Sheena Philip ◽  
Yessy Peranginangin
Keyword(s):  
Crude Oil ◽  
Price Discovery ◽  
Exchange Traded Funds ◽  
Discovery Process ◽  
Information Share ◽  
Oil Futures ◽  
Price Series ◽  
Daily Data ◽  
Crude Oil Futures ◽  
Price Discovery Process

This study empirically investigates the contributions of three crude oil-based exchange-traded funds (ETFs) in the price discovery process. Using daily data on the crude oil spot, near month crude oil futures, and three crude-oil-based ETFs, we analyze the price discovery contributions of the five-price series. We use two information share measures, namely the generalized information share (GIS) measure (Lien and Shrestha, 2014) and the permanent-temporary decomposition (PT/GG) measure (Gonzalo and Granger, 1995). We find that the futures market dominates the price discovery process. However, we also find that the crude-oil-based ETFs significantly contribute to the price discovery process. Thus, we find that additional ETFs play a significant role in price discovery. Therefore, they are not redundant in terms of their price discovery contributions.

Price discovery in crude oil futures

2014 ◽  
Vol 46 ◽  
pp. S18-S27 ◽  
Author(s):  
John Elder ◽  
Hong Miao ◽  
Sanjay Ramchander
Keyword(s):  
Crude Oil ◽  
Price Discovery ◽  
Oil Futures ◽  
Crude Oil Futures

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.

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