Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245383 
Year of Publication: 
2021
Series/Report no.: 
CESifo Working Paper No. 9202
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004-2019) period. While speculation that reflects non-commercial investors' activity is found to have a negative impact on crude oil futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after 2004. The finding indicates weakening seasonality in crude oil futures and diminishing Samuelson maturity effect i.e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting for volatility dynamics while contributing to financialisation debate.
Subjects: 
financialisation
volatility dynamics
Samuelson hypothesis
correlation
seasonality
JEL: 
C32
G12
G15
Document Type: 
Working Paper
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