اثرات سرریز در بازارهای آتی انرژی

Price discovery in crude oil and refined oil products has been extensively undertaken in organised futures markets for over a decade now. There are two dominant such markets today: the first one in the New York Mercantile Exchange; and the second in London's International Petroleum Exchange. With the demise of OPEC as the leading price setter for crude and products, NYMEX light sweet crude and Brent crude have usurped the role of benchmark grades for price setting. To date considerable work has been done to scrutinise the degree to which these two markets price efficiently, but little with regard to the way the two markets interact. Participants in these markets move with relative ease from one market to the other and usually take positions in both of them. It is of interest, therefore, to investigate the information transmission mechanism by looking at spillover effects and, perhaps, identify which market is the true price leader. This paper is a first attempt to look at such a problem in the energy market, although similar studies have been done on stock market indices. It is found that substantial spillover effects do exist when both markets are trading simultaneously, although IPE morning prices seem to be considerably affected by the close of the previous day on NYMEX.

Organised commodity futures markets have been around since the end of the last century, but despite their longevity they have often been criticised as relatively less transparent, more inefficient and more difficult to interpret than more recently established financial futures markets. Agricultural commodity futures have been the prime focus of most research, but energy futures came to the limelight after the oil price collapse in 1986. Since then, there are primarily two markets which act as benchmarks for the pricing of crude oil and its refined products, on an international basis: New York and London. In the crude oil market, more specifically, it is two ‘marker’ crudes that set the pace in prices: West Texas Intermediate and Brent Blend. The former is the base grade traded, as ‘light sweet crude’, on the New York Mercantile Exchange (NYMEX), while the latter is traded on London's International Petroleum Exchange (IPE) and is also one of the grades acceptable for delivery of the NYMEX contract. Much of the research to date has focused on the interaction between the cash and the futures tiers of the crude oil market. In contrast, our research question focuses on the information linkages between the two markets. Variations of this question could be: Does the law of one price hold for the two markets?; Is one market more efficient than the other in assimilating information?; and Does one market ‘lead’ the other in its pricing function? This paper investigates the information transmission mechanism between NYMEX and IPE crude oil contracts in both non-overlapping and simultaneous trading hours. It also addresses the concomitant questions of: how fast information is transmitted (e.g. within the same day or overnight); in which direction the information flows; and through which mechanism(s) information is transmitted (e.g. through price returns themselves or the variance of these returns). We start by reviewing the literature on energy futures markets and — more importantly — on the issue of market linkages. We continue with a review of the data at our disposal, their characteristics and shortfalls (where inevitable), and the consequences in the choice of methodology. Following that is the section discussing the methodology employed and the interpretation of empirical results. The paper concludes with a summary of the most important findings and suggestions for further research.

By investigating the NYMEX and IPE energy futures markets with univariate and bivariate time series models, evidence of spillovers in mean returns is found in the IPE morning section, where up to two previous days’ NYMEX information has significant effects. NYMEX is efficient in incorporating past information. Variance spillovers are transmitted in both directions. When both markets are open, i.e. the IPE afternoon trading session and NYMEXday trading session, substantial spillover effects in the mean take place in both directions. These results are robust in relation to superexogeneity tests and Granger causality tests. They may indicate the existence of a common trading market place, which needs to be further investigated. In addition there is some evidence of Mondayrholiday effects in NYMEX trading section and marginally significant negative contract-switching effects in the variance equations of all trading sections when two dummies and spillover effects are jointly examined. It may be caused by the arbitrary 5-day cutoff point before expiry when the next nearest contract is taken. It may, however, be due to the fact that when another contract is introduced, some inconsistency of basis is also introduced. Evidence provided by the data available for this paper seem to indicate that NYMEX has an edge on IPE, at least so far as the IPE morning section is concerned. The next step in this line of research should be to look at high frequency data e.g. every 5 min. on both markets in order to establish who is the true market leader.