會議論文
| 學年 | 96 |
|---|---|
| 學期 | 2 |
| 發表日期 | 2008-04-11 |
| 作品名稱 | Information Transmission and Market Interactions across the Atlantic: An Empirical Study on the Natural Gas Market |
| 作品名稱（其他語言） | |
| 著者 | Wan, Jer-Yuh; Kao, Chung-Wei |
| 作品所屬單位 | 淡江大學經濟學系 |
| 出版者 | |
| 會議名稱 | 2008德明財金學術研討會 |
| 會議地點 | 臺北市, 臺灣 |
| 摘要 | This paper studies the international information transmission and market interactions in the U.S. and U.K. natural gas markets. Four well documented approaches are used to measure the relative importance on the process of price discovery under a quadvariate system. After adjusting the effects of nonsynchronous trading prices, robust results indicate the four price series are driven by one common factor. Information disseminates efficiently among the four markets concerned. The U.S. futures market dominates as the center for price discovery. The U.K. futures market contributes the second. Both spot markets are less efficient than their corresponding futures market, where the U.K. spot market contributes the least and almost zero to the price discovery process. Asymmetric volatility spillovers are found in three of the four markets. Volatility in the U.S. futures market increases with positive returns which illustrates the inverse leverage effect in most of the commodity market. Volatilities in the spot markets are negatively related to returns, which appears to the traditional leverage effect prevailing in most of the equity stock markets. |
| 關鍵字 | Natural gas;Price discovery;Cointegration;Common factor model;Volatility spillover |
| 語言 | en |
| 收錄於 | |
| 會議性質 | 國內 |
| 校內研討會地點 | |
| 研討會時間 | 20080411~20080411 |
| 通訊作者 | |
| 國別 | TWN |
| 公開徵稿 | Y |
| 出版型式 | 紙本 |
| 出處 | 2008德明財金學術研討會論文集，42頁 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95640 ) |