Adequate Speculation, Excessive Speculation and Crude Oil Futures Price Volatility

2011 ◽  
Author(s):  
Yun Pan ◽  
Latha Shanker
Keyword(s):  
Crude Oil ◽  
Price Volatility ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
Futures Price ◽  
Excessive Speculation

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.

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.

scholarly journals Forecasting crude oil futures prices using global macroeconomic news sentiment

2019 ◽  
Vol 31 (2) ◽  
pp. 191-215 ◽  
Author(s):  
Zryan A Sadik ◽  
Paresh M Date ◽  
Gautam Mitra
Keyword(s):  
Crude Oil ◽  
Price Volatility ◽  
Futures Contracts ◽  
Model Structure ◽  
Futures Prices ◽  
Macroeconomic News ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
News Sentiment ◽  
The Impact

Abstract We propose a method of incorporating macroeconomic news into a predictive model for forecasting prices of crude oil futures contracts. Since these futures contracts are more liquid than the underlying commodity itself, accurate forecasting of their prices is of great value to multiple categories of market participants. We utilize the Kalman filtering framework for forecasting arbitrage-free (futures) prices and assume that the volatility of oil (futures) price is influenced by macroeconomic news. The impact of quantified news sentiment on the price volatility is modelled through a parametrized, non-linear functional map. This approach is motivated by the successful use of a similar model structure in our earlier work, for predicting individual stock volatility using stock-specific news. We claim the proposed model structure for incorporating macroeconomic news together with historical (market) data is novel and improves the accuracy of price prediction quite significantly. We report results of extensive numerical experiments which justify our claim.

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