教師資料查詢 | 類別: 期刊論文 | 教師: 廖惠珠 LIAO HUEI-CHU (瀏覽個人網頁)

標題:Electronic Trading System and Returns Volatility in the Oil Futures Market
學年97
學期1
出版(發表)日期2008/09/01
作品名稱Electronic Trading System and Returns Volatility in the Oil Futures Market
作品名稱(其他語言)
著者Liao, Huei-Chu; Lee, Yi-Huey; Suen, Yu-Bo
單位淡江大學經濟學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數Energy Economics, 30(5), pp. 2636-2644
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.
關鍵字oil futures price; volatility; electronic trade
語言中文
ISSN0140-9883
期刊性質
收錄於SCI
產學合作
通訊作者
審稿制度
國別荷蘭
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