| 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 | zh_TW |
| ISSN | 0140-9883 |
| 期刊性質 | |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/66334 ) |
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