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The impact of fundamental and financial traders on the term structure of oil
Heidorn, Thomas; Mokinski, Frieder; Rühl, Christoph; … - 2014
We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market … integration between WTI and Brent as measured by their price spread. To obtain a parsimonious representation of the futures curve … sub-periods of a sharp WTI-price rise as well as a diverging Brent-WTI-spread. Our contribution is threefold: First, we …
Persistent link: https://www.econbiz.de/10010340137
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The impact of fundamental and financial traders on the term structure of oil
Heidorn, Thomas; Mokinski, Frieder; Rühl, Christoph; … - In: Energy economics 48 (2015), pp. 276-287
Persistent link: https://www.econbiz.de/10011533818
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Shock propagation across the futures term structure : evidence from crude oil prices
Lautier, Delphine H.; Raynaud, Franck; Robe, Michel A. - In: The energy journal 40 (2019) 3, pp. 125-153
Persistent link: https://www.econbiz.de/10012053253
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The expansion of the Brazilian winter corn crop and its impact on price transmission
Mattos, Fabio; Silveira, Rodrigo Lanna Franco da - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
The purpose of this study is to analyze the impact of the growth of the Brazilian winter corn crop on the dynamics between domestic Brazilian prices and international prices as well as spot and futures prices in Brazil. Econometric time-series methods tests were applied using Brazilian spot and...
Persistent link: https://www.econbiz.de/10011883271
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Causality between arbitrage and liquidity in platinum futures
Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17
Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...
Persistent link: https://www.econbiz.de/10014284282
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The extent of European power markets
Böckers, Veit; Heimeshoff, Ulrich - 2012
This paper analyzes the convergence process of Central-West European wholesale electricity markets from 2004 to the beginning of 2011. Jevon's law of price indifference is scrutinized using price correlation, parametric and nonparametric tests of price-differences and cointegration analysis. As...
Persistent link: https://www.econbiz.de/10009530099
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Rechtliche Instrumente zur Vollendung des europäischen Energiebinnenmarktes
Gerig, Martin; Helbig, Eike - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 94 (2014) 12, pp. 887-891
Die EU wollte den europäischen Energiebinnenmarkt noch im Jahr 2014 vollenden. Doch dürfte dieses Ziel deutlich verfehlt werden. Die Energiemärkte der Mitgliedstaaten bleiben insbesondere wegen unterschiedlicher mitgliedstaatlicher Regulierungseingriffe sehr heterogen. Für eine stärkere...
Persistent link: https://www.econbiz.de/10010464114
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European Energy Market Integration : Efficiency Improvements in Electricity Producing Firms
Armada, Ferran - 2015
In this paper, we review and use different methods to measure and compare efficiency scores in energy producing plants. In particular, we use non-parametric and parametric techniques. We focus our attention in electricity producing power plants on eighteen European countries, as well as in...
Persistent link: https://www.econbiz.de/10013011018
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Variance Risk Premiums in Emerging Markets : Global Integration and Economic Uncertainty
Qiao, Fang - 2019
We construct variance risk premiums for the nine major emerging markets of Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan from 2000 to 2017 using the sample-extension methodology in Lynch and Wachter (2013). Both the emerging market and developed market...
Persistent link: https://www.econbiz.de/10012899001
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Degree of Integration between Brent Oil Spot and Futures Markets : Intraday Evidence
Inci, A. Can - 2017
We investigate the integration of oil spot and futures markets using matched, intraday data to avoid non-synchronous trading issues. Our evidence indicates highly integrated spot and futures markets. Economic shocks that arise in spot markets are quickly transmitted to the futures markets...
Persistent link: https://www.econbiz.de/10012972487