Electronic Trading System and Returns Volatility in the Oil Futures Market

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Periodical Articles > Item 987654321/23915

Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/23915

Title:	Electronic Trading System and Returns Volatility in the Oil Futures Market
Authors:	李怡慧;Lee, Yi-Huey;Suen, Yu-Bo;Liao, Huei-Chu
Contributors:	財務金融學系
Keywords:	Oil futures price;Volatility;Electronic trade
Date:	2008-09
Issue Date:	2016-04-25 10:55:24 (UTC+8)
Abstract:	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 that the 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.
Relation:	Energy Economics Vol. 30, no. 5 pp.2636-2644
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Periodical Articles

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