دانلود مقاله ISI انگلیسی شماره 94457
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
94457 2017 15 صفحه PDF سفارش دهید 10591 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 52, July 2017, Pages 104-118

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چکیده انگلیسی

This paper examines the existence of dynamic spillover effects across petroleum based commodities and among spot-futures volatilities, trading volume and open interest. Realized volatilities of spot-futures markets are used as inputs to estimate a VAR model following Diebold and Yilmaz (2014, 2015) and distinguish dynamic spillovers in total and net effects. Results reveal the existence of large and time-varying spillovers among the spot-futures volatilities and across petroleum-based commodities when examined pairwise. In addition, speculative pressures, as reflected by futures trading volume, and hedging pressures, as reflected by open interest, are shown to transmit large and persistent spillovers to the spot and futures volatilities of crude oil and heating oil-gasoline markets, respectively.

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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.