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- W2392264751 abstract "This paper examines the behavior of crude oil futures price volatility and investigates whether information shocks to market expectations about inventory and non-commercial traders' positions change have a significant effect on crude oil price and its volatility.It also studies how these factors,as well as other determinants,influence crude oil returns and volatility,whether returns are related to risks,and whether financial crises increase volatility in crude oil futures markets.This paper constructs a new proxy indicator of information shock to market expectations of inventory changes in a new way,and incorporates the factor of trading activities of non-commercial traders into a model to measure the extent of its impact. The empirical results reveal that unexpected inventory changes of crude oil,trading activities of non-commercial traders,and the exchange rate index of the US dollar can impact the conditional mean of crude oil returns significantly.The results also suggest that these factors do not significantly impact the conditional variance,and crude oil returns are more volatile in downward trend than in uptrend." @default.
- W2392264751 created "2016-06-24" @default.
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- W2392264751 date "2011-01-01" @default.
- W2392264751 modified "2023-09-28" @default.
- W2392264751 title "Price dynamics and volatility of crude oil futures market:Inventory information shocks and trading activities of non-commercial traders" @default.
- W2392264751 hasPublicationYear "2011" @default.
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