This study examines the role of daily volatility persistence in transmitting information from macro-economy in the volatility of energy markets. In crude oil and natural gas markets, macro-economic factors, such as the VIX, the credit spread and the Baltic exchange dirty index, impact...

While speculators traditionally provide liquidity in oil futures markets, this paper re-evaluates the role of hedgers and speculators as liquidity providers and their effects on oil price volatility. By using two measures of hedging pressure that capture the liquidity provision by speculators...

This paper evaluates the role of hedgers and speculators as liquidity providers in oil markets and analyses the effects of these liquidity provision channels on weekly volatility. Using two measures of hedging pressure that capture liquidity provision by speculators and hedgers, we find that...