| کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
|---|---|---|---|---|
| 1144066 | 1489615 | 2011 | 8 صفحه PDF | دانلود رایگان |
کلید واژه ها
1.مقدمه
2. آمار داده
جدول 1. آمار توصیفی قیمت و بازده، و همبستگی جزئی همبستگی خودکار بازده و بازده مربع
شکل 1. قیمت معاملات سلف نفت خام و موقعیت های دو نوع تاجر
جدول 2. همبستگی قیمت و موقعیت ها
3. تست علت و معلولی Granger
جدول 3. تست علت و معلولی Granger بین بازده ها و موقعیت های بلندمدت خالص درصدی
4. مدل GARCH بازده های معاملات سلف نفت خام و پیامدهای آن
جدول 4. تخمین نتایج مدل های GARCh با نوآوری student-t
شکل 2. سری های واریانس شرطی تخمین زده شده توسط مدل GARCH
5. نتیجه گیری
This paper examines the behaviour of crude oil futures price and volatility, analyzes the relationship between speculative traders’ positions and returns, and investigates whether speculative traders’ position changes have a significant effect on crude oil price. It also studies how speculation factor influence crude oil returns and volatility, whether returns are related to risks, and whether financial crises increase volatility in crude oil futures markets. The empirical results from Granger causality reveal that return lead speculative position, which indicates that non-commercial or managed money traders are a class of positive feedback traders or trend followers; and also reveal that the position changes held by speculative traders will cause crude oil price movement. Based on the estimation results of GARCH(1,1) model we verify position changes of non-commercial or managed money traders can impact crude oil futures returns significantly, and indicate returns are not related to conditional variance. Moreover, during the financial crisis, crude oil futures return shows an extreme large volatility. These findings can help us better understand price discovery process in crude oil futures market, and is useful in risk management and financial engineering.
Journal: Systems Engineering Procedia - Volume 2, 2011, Pages 114-121