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Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

Persistent link: https://www.econbiz.de/10009756298

Volatility spillover and dynamic correlation between the carbon market and energy markets

Chen, Yufeng; Qu, Fang; Li, Wenqi; Chen, Minghui - In: Journal of business economics and management 20 (2019) 5, pp. 979-999

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … for multi-phase analysis of EU ETS, yet only a little empirical evidence backing up the existence of volatility spillover …

Persistent link: https://www.econbiz.de/10012175985

Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns

Anoruo, Emmanuel - 2013

This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market...

Persistent link: https://www.econbiz.de/10013091878

On the macroeconomic determinants of the long-term oil-stock correlation

Conrad, Christian; Stürmer, Karin; Rittler, Daniel - 2012

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables which contain information on current and future economic activity are helpful predictors for...

Persistent link: https://www.econbiz.de/10009526194

International Oil Price and Sectoral Stock Prices : An Asymmetric Kernel and Nonlinear Autoregressive Distributed Lag Analysis

Banto, Jean Michel; Doho, Libaud Rudy Aurelien; Somé, … - 2023

In this work, we test the price sensitivity of sector indices to changes in the oil price over the period 2001 to 2021 using the kernel method and the non-linear autoregressive method with distributed lags (NARDL) proposed by Shin et al., (2014). We capture both short-term and long-term...

Persistent link: https://www.econbiz.de/10014348440

To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets

Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10010193320

Volatility spillovers between oil prices and stock returns in developing countries

Massadikov, Khairulla - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 121-126

Persistent link: https://www.econbiz.de/10012623402

The effects of external uncertainties against monetary policy uncertainty on IRANIAN stock return volatility using GARCH-MIDAS approach

Razmi, Seyedeh Fatemeh; Bajgiran, Bahareh Ramezanian; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 4, pp. 278-281

Persistent link: https://www.econbiz.de/10012500847

Total, asymmetric and frequency connectedness between oil and forex markets

Baruník, Jozef; Kočenda, Evžen - 2019

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

Persistent link: https://www.econbiz.de/10012035050

The Impact of Oil Price Shocks on the US Stock Market : A Note on the Roles of US and Non-US Oil Production

Kang, Wensheng - 2016

Kilian and Park (IER 50 (2009), 1267-287) find shocks to oil supply are relatively unimportant to understanding changes in U.S. stock returns. We examine the impact of both U.S. and non-U.S. oil supply shocks on U.S. stock returns in light of the unprecedented expansion in U.S. oil production...

Persistent link: https://www.econbiz.de/10012989373