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Title: Crude oil volatility : hedgers or investors
Related: Economics bulletin, Vol. 30, No. 4 (2010), p.2877-2883
Related: http://www.economicsbulletin.com/
Publisher: Economics Bulletin
Date: 2010
Author/Creator: Milunovich, George
Author/Creator: Ripple, Ronald
Description: We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalancing activity of oil hedgers has a significant and positive effect on the oil futures volatility. On the other hand, non-commercial players (investors) who take positions in the crude oil futures as well as stocks and bonds do not affect the crude oil volatility significantly by rebalancing their positions.
Description: 7 page(s)
Subject Keyword: crude oil futures volatility
Subject Keyword: optimal portfolio weight
Subject Keyword: hedge ratio
Subject Keyword: GARCH
Subject Keyword: time-series
Resource Type: journal article
Organisation: Macquarie University. Dept. of Economics

Identifier: http://hdl.handle.net/1959.14/118355
Identifier: ISSN:1545-2921
Identifier: mq-rm-2010002983
Language: eng
Rights: Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.
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