Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras

Arbeitspapier

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004-2019) period. While speculation that reflects non-commercial investors' activity is found to have a negative impact on crude oil futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after 2004. The finding indicates weakening seasonality in crude oil futures and diminishing Samuelson maturity effect i.e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting for volatility dynamics while contributing to financialisation debate.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 9202

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets
• Thema: financialisation ; volatility dynamics ; Samuelson hypothesis ; correlation ; seasonality

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Wadud, Sania ; Durand, Robert B. ; Gronwald, Marc
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/245383
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ