CAUSALITY AND VOLATILITY SPILLOVER BETWEEN SPOT AND FUTURE OIL MARKET: CASE OF NYMEX

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KESHAVARZIAN MARYAM; RAGHFAR HOSSIEN; KHIABANI NASSER; JALALI NAIINI AHMADREZA

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Paper Information

Journal: Monetary and Financial Economics Year:2013 | Volume:20 | Issue:5 Page(s): 136-163

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Title

CAUSALITY AND VOLATILITY SPILLOVER BETWEEN SPOT AND FUTURE OIL MARKET: CASE OF NYMEX

Author(s)

KESHAVARZIAN MARYAM | RAGHFAR HOSSIEN | KHIABANI NASSER | JALALI NAIINI AHMADREZA | Issue Writer Certificate

Keywords

OIL SPOT PRICEQ2

VOLATILITY SPILLOVERQ2

WEST TEXAS INTERMEDIATE OILQ2

MULTIVARIATE GARCHQ1

BEKKQ2

VECTOR ERROR CORRECTION MODELQ2

PRICE DISCOVERYQ2

Abstract

Discovering the structure and pattern of crude oil price fluctuations enables us to disclose valuable information about the price change, information transmission and reactions of these markets to the spillover in NYMEX. This study focuses on this task. Moreover, it tries to capture the fluctuation effects on the markets'' instabilities and analyses the spot and future markets operations in both PRICE DISCOVERY – through error correction model- or volatility and risk spillover – through MULTIVARIATE GARCH-BRKK model.The results show that causality in mean is from future to spot market and not the vice versa. In other words future markets undertake PRICE DISCOVERY and leadership. The result of VOLATILITY SPILLOVER, information and risk transmission between markets shows that information transmission is from future to spot market and the reverse does not hold

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APA: Copy

KESHAVARZIAN, MARYAM, RAGHFAR, HOSSIEN, KHIABANI, NASSER, & JALALI NAIINI, AHMADREZA. (2013). CAUSALITY AND VOLATILITY SPILLOVER BETWEEN SPOT AND FUTURE OIL MARKET: CASE OF NYMEX. JOURNAL OF MONETARY & FINANCIAL ECONOMICS, 20(5), 136-163. SID. https://sid.ir/paper/394404/en

Vancouver: Copy

KESHAVARZIAN MARYAM, RAGHFAR HOSSIEN, KHIABANI NASSER, JALALI NAIINI AHMADREZA. CAUSALITY AND VOLATILITY SPILLOVER BETWEEN SPOT AND FUTURE OIL MARKET: CASE OF NYMEX. JOURNAL OF MONETARY & FINANCIAL ECONOMICS[Internet]. 2013;20(5):136-163. Available from: https://sid.ir/paper/394404/en

IEEE: Copy

MARYAM KESHAVARZIAN, HOSSIEN RAGHFAR, NASSER KHIABANI, and AHMADREZA JALALI NAIINI, “CAUSALITY AND VOLATILITY SPILLOVER BETWEEN SPOT AND FUTURE OIL MARKET: CASE OF NYMEX,” JOURNAL OF MONETARY & FINANCIAL ECONOMICS, vol. 20, no. 5, pp. 136–163, 2013, [Online]. Available: https://sid.ir/paper/394404/en

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