comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient … the strength of global demand. However, speculation played a significant role in the oil price increase between 2004 and …

herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental … news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess … demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market …

We analyze the relation between volatility and speculative activities in the crude oil futures market and provide short …-term forecasts accordingly. By incorporating trading volume and opening interest (speculative ratio) into the volatility dynamics, we … document the subtle interaction between the two measures of which the volatility-averse behavior of speculative activities …

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign … the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short … model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and …

This study examines the effect of Herding in different states (low, high and extreme volatility) in Tehran Stock … herding behavior under the low volatility regime … Exchange during the years 2009-2013 using Chang et al. (2000) and Balcilar et al. (2013) models. In this survey, herding is …