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Liquidity-induced dynamics in futures markets
Fagan, Stephen; Gençay, Ramazan - 2007
Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...
Persistent link: https://www.econbiz.de/10011523414
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Does speculation Granger cause return in Chinese commodity markets?
Hu, Weigang; Feng, Yun - In: Applied economics letters 23 (2016) 4/6, pp. 294-297
Persistent link: https://www.econbiz.de/10011430469
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The role of speculation in international futures markets on commodity prices
Huchet, Nicolas; Fam, Papa Gueye - In: Research in international business and finance 37 (2016), pp. 49-65
Persistent link: https://www.econbiz.de/10011595127
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Commodity Futures Returns : A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures
Cifarelli, Giulio - 2010
, characterized by a stronger impact of speculation on futures return dynamics …
Persistent link: https://www.econbiz.de/10013135852
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Understanding the sources of risk underlying the cross section of commodity returns
Bakshi, Gurdip S.; Gao, Xiaohui; Rossi, Alberto - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 619-641
Persistent link: https://www.econbiz.de/10012000721
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Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in …
Persistent link: https://www.econbiz.de/10010343837
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Trading volume and return relationship in the crude oil futures markets
Abba Abdullahi, Saada; Kouhy, Reza; Muhammad, Zahid - In: Studies in economics and finance 31 (2014) 4, pp. 426-438
Persistent link: https://www.econbiz.de/10011339592
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Testing for asymmetric causality between U.S. equity returns and commodity futures returns
Nguyen, Duc Khuong; Sousa, Ricardo M.; Uddin, Mohammed … - In: Finance research letters 12 (2015), pp. 38-47
Persistent link: https://www.econbiz.de/10011552233
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Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)
Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176
Persistent link: https://www.econbiz.de/10011665786
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Investor attention and crude oil prices : evidence from nonlinear Granger causality tests
Li, Sufang; Zhang, Hu; Yuan, Di - In: Energy economics 84 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012183252