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The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market

Chang, Kuang-Liang; Lee, Chingnun - In: International review of economics & finance : IREF 69 (2020), pp. 374-388

Persistent link: https://www.econbiz.de/10012486979

The role of trader positions in spot and futures prices for WTI

Kolodziej, Marek; Kaufmann, Robert Kurt - In: Energy economics 40 (2013), pp. 176-182

Persistent link: https://www.econbiz.de/10010349590

The impact of price variability on cash/futures market relationships : implications for market efficiency and price discovery

Arnade, Carlos Anthony; Hoffman, Linwood A. - In: Journal of agricultural and applied economics : JAEE 47 (2015) 4, pp. 539-559

Persistent link: https://www.econbiz.de/10011618634

Investor Sentiment and Price Discovery : Evidence from the Pricing Dynamics between the Futures and Spot Markets

Chou, Robin K. - 2020

futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid … advantages on the futures market, which diminishes the futures markets' leading informational role and contributions to price …

Persistent link: https://www.econbiz.de/10012856572

Fundamentals, Derivatives Market Information and Oil Price Volatility

Robe, Michel A.; Wallen, Jonathan - 2021

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we … explanatory power for the short-dated oil IVs and for the WTI IV term structure. After controlling for the VIX, in contrast …

Persistent link: https://www.econbiz.de/10013245198