کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9550599 1372350 2005 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Causality in variance and the type of traders in crude oil futures
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
Causality in variance and the type of traders in crude oil futures
چکیده انگلیسی
This article examines the causal relationship and, in particular, informational dependence between crude oil futures return and the trading volume using daily data over a ten-year period using a recent econometric methodology. The two-step procedure developed by Cheung and Ng (1996) [Cheung, Y.W., Ng, L.K., 1996. A causality-in-variance test and its applications to financial market prices, Journal of Econometrics 72, 33-48.] is robust to distributional assumption and does not depend on simultaneous modeling of the two variables. We find only causality at higher order lags running from return to volume in the mean as well as in conditional variance. Our result is not in complete agreement with several earlier studies in this area. However, the result does indicate mild support for noise traders' hypothesis in the crude oil futures market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 27, Issue 3, May 2005, Pages 527-539
نویسندگان
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