Search

Begin New Search
Proceed to Checkout

Search Results for All:
(Showing results 1 to 2 of 2)



Herding and Speculation in the Crude Oil Market

Celso Brunetti, Bahattin Buyuksahin, and Jeffrey H. Harris

Year: 2013
Volume: Volume 34
Number: Number 3
DOI: 10.5547/01956574.34.3.5
View Abstract

Abstract:
We examine whether herding among speculators in U.S. crude oil futures markets affects market prices and volatility. Using detailed data on the positions of hedge funds and swap dealers from 2005-2009, we find little evidence that herding destabilizes the crude oil futures market. To the contrary, herding among speculative traders is negatively correlated with contemporaneous volatility and does not lead next-day volatility. Our impulse-response analysis shows that market regulators should monitor herding since a shock to herding among all groups may lead to price changes, and, in the case of hedge funds, may lead to increased volatility. Interestingly, however, increased swap dealer herding actually dampens crude oil price volatility.



The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data

Stavros Degiannakis, George Filis, and Renatas Kizys

Year: 2014
Volume: Volume 35
Number: Number 1
DOI: 10.5547/01956574.35.1.3
View Abstract

Abstract:
The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realized and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks lead to a reduction in stock market volatility. More specifically, the aggregate demand oil price shocks have a significant explanatory power on both current-and forward-looking volatilities. The results are qualitatively similar for the aggregate stock market volatility and the industrial sectors' volatilities. Finally, a robustness exercise using short-and long-run volatility models supports the findings.





Begin New Search
Proceed to Checkout

 

© 2024 International Association for Energy Economics | Privacy Policy | Return Policy