Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/321407 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 12 [Issue:] 1 [Article No.:] 2302636 [Year:] 2024 [Pages:] 1-16
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
In this study, we investigate the dynamic relationship between return and liquidity in the Brent and the West Texas Intermediate (WTI) oil markets. The research utilises daily oil price and volume data and monthly macroeconomic data from January 1, 1996 to April 28, 2023 obtained from the Energy Information Association (EIA), the Organisation for Economic Co-operation and Development (OECD), the Federal Reserve Economic Data (FRED), investing.com, and the International Monetary Fund (IMF). We employ the ARMAX(1,1)-aDCC-GARCH-t(1,1) model to capture time-varying associations between return and liquidity. Our findings reveal a significant impact of speculation on the return-liquidity relationship, which is more persistent in the WTI market. Furthermore, we observe a pattern between the Brent and WTI markets during the study period, which the heterogeneous trader hypothesis can explain. These insights hold implications for policymakers aiming to enhance the crude oil market's stability, as well as for market traders in developing trading and risk management strategies.
Schlagwörter: 
Crude oil
market liquidity
speculation
commodities
JEL: 
G14
G15
Q02
Q41
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.