淡江大學機構典藏:Item 987654321/66334
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 62805/95882 (66%)
Visitors : 3901484      Online Users : 286
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/66334


    Title: Electronic Trading System and Returns Volatility in the Oil Futures Market
    Authors: Liao, Huei-Chu;Lee, Yi-Huey;Suen, Yu-Bo
    Contributors: 淡江大學經濟學系
    Keywords: oil futures price;volatility;electronic trade
    Date: 2008-09
    Issue Date: 2011-10-22 17:33:38 (UTC+8)
    Publisher: Amsterdam: Elsevier BV * North-Holland
    Abstract: This paper uses daily Brent crude prices to investigate the employment of electronic trading on the returns conditional volatility in the oil futures market. After a suitable GARCH model is established, the conditional volatility series are found. The Bai and Perron model is then used to find two significant structural breaks for these conditional volatility series around two implementation dates of electronic trading. This result indicates thatthe change in the trading system has significant impacts on the returns volatility since our estimated second break date is very close to the all-electronic trade implementation date. Moreover, the conditional volatility in the all-electronic trading period is found to be more dominated by the temporal persistence rather than the volatility clustering effect. All these evidence can shed some light for explaining the high relationship between more volatile world oil price and the more popular electronic trade. (C) 2008 Elsevier B.V. All rights reserved.
    Relation: Energy Economics, 30(5), pp. 2636-2644
    DOI: 10.1016/j.eneco.2008.05.001
    Appears in Collections:[Graduate Institute & Department of Economics] Journal Article

    Files in This Item:

    File Description SizeFormat
    Electronic Trading System and Returns Volatility in the Oil Futures Market.pdf335KbAdobe PDF0View/Open
    index.html0KbHTML102View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback