Electronic Trading System and Returns Volatility in the Oil Futures Market

淡江大學機構典藏 > 商管學院 > 經濟學系暨研究所 > 期刊論文 > Item 987654321/66334

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题名:	Electronic Trading System and Returns Volatility in the Oil Futures Market
作者:	Liao, Huei-Chu;Lee, Yi-Huey;Suen, Yu-Bo
贡献者:	淡江大學經濟學系
关键词:	oil futures price;volatility;electronic trade
日期:	2008-09
上传时间:	2011-10-22 17:33:38 (UTC+8)
出版者:	Amsterdam: Elsevier BV * North-Holland
摘要:	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.
關聯:	Energy Economics, 30(5), pp. 2636-2644
DOI:	10.1016/j.eneco.2008.05.001
显示于类别:	[經濟學系暨研究所] 期刊論文

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