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Title: Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest
Authors: Magkonis, Georgios 
Tsouknidis, Dimitris 
Keywords: Dynamic spillovers;Spot and futures markets;Petroleum markets;Trading volume;Open interest
Category: Environmental Engineering
Field: Engineering and Technology
Issue Date: Jul-2017
Publisher: Elsevier Inc.
Source: International Review of Financial Analysis, Volume 52, 2017, Pages 104-118
Abstract: This paper examines the existence of dynamic spillover effects across petroleum based commodities and among spot-futures volatilities, trading volume and open interest. Realized volatilities of spot-futures markets are used as inputs to estimate a VAR model following Diebold and Yilmaz (2014, 2015) and distinguish dynamic spillovers in total and net effects. Results reveal the existence of large and time-varying spillovers among the spot-futures volatilities and across petroleum-based commodities when examined pairwise. In addition, speculative pressures, as reflected by futures trading volume, and hedging pressures, as reflected by open interest, are shown to transmit large and persistent spillovers to the spot and futures volatilities of crude oil and heating oil-gasoline markets, respectively.
ISSN: 10575219
Rights: © 2017 Elsevier
Type: Article
Appears in Collections:Άρθρα/Articles

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