[PDF] Top 20 Information transmission in energy futures markets

... Chapter 3 reviews methodologies on lead-lag relationships in the existing literature and their relevance to our empirical analysis in later chapters; Chapter 4 examines the information t[r] ... See full document

... major energy source markets and their relationships is helpful for constructing an effective policy to change the types of major energy sources and reduce the dependence on fossil ...multiple ... See full document

... wheat futures traded on the CBOT and the WCE of Canada and analyze the degree of information spillover between the futures exchanges of the two ...wheat futures prices are related in the long ... See full document

... and futures prices of Cushing OK WTI, RBOB and the number 1 heating oil traded in the NYMEX, for the period running from 2nd January 2006 to 22nd May ...US Energy Information Administration (EIA) ... See full document

... the futures market (settlement in the future) onto the spot ...the futures market is the risk- free rate whereas in badla transactions, the interest rate is significantly higher due to the counterparty ... See full document

... Although futures markets started with agricultural products, which can be physically delivered, today, many futures contracts based on financial instruments ...tures markets in ...on ... See full document

... US energy sector to investigate the causality between flows and returns through the Vector-Autoregressive (VAR) model to test four hypotheses, namely the price pressure, information, feedback trading, and ... See full document

... financial markets decreased, as investors sought to rebalance their portfolios towards government bonds and other vehicles of safer investments and to hedge their risky positions in spot markets by opening ... See full document

... oil markets and (ii) there is inherently greater complexity in determining fundamental value for ...oil markets with approximately 70% of all international trade being priced directly or indirectly off ... See full document

... Futures contracts on the New York Mercantile Exchange are the most liquid in- struments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders ... See full document

... The hypothesis addressed in this paper is that the ask-bid spread varies negatively with volume.. The results support the hypothesis for the majority of contracts [r] ... See full document

... in futures price; Gamma (γ) measures the change in δ for a ...in futures price; theta (θ) measures the decline in option price for a 30 day decline in time to option expiration; Rho (ρ) measures the change ... See full document

... financial markets (Glosten and Milgrom, 1985; Kyle, 1985; Easley and O’Hara, 1987), according to which trading activity affects liquidity, and are also in line with the churn ratio (Figure ... See full document

... Commodity markets have an imperative role in the price stabilization of commodities and contribute incalculably to the economic development of the ...and futures prices for all sample ...and futures ... See full document

... incorrect information (Keynes 1936; Froot, Scharfstein and Stein 1992), as well as to ...incorrect information, and investors herded on the purchase of excessively risky ... See full document

... that information flows are necessary for markets to function properly in a world of asymmetric ...different information regarding the value of the item to be exchanged, a “lemons market” may ... See full document

... It is argued in this paper that one must distinguish short-term price instability, associated with the functioning of commodity futures markets, and medium- term instability, associated [r] ... See full document

... of energy justice - when other people/groups are also implicated as they may assume that others are either responsible for taking action or have already done ... See full document

... In deregulated power systems in addition the technical criteria, market based criteria must be used to achieve the objectives of transmission expansion planning in deregulated power systems. In order to define and ... See full document

... commodity futures market, index investors' initial wealth, and study how stock futures prices, all kinds of positions held by traders change, and take commodity demand shocks into ... See full document