The determinants of volatility on the American crude oil futures market
Lautier, Delphine; Riva, Fabrice (2008), The determinants of volatility on the American crude oil futures market, OPEC Energy Review, 32, 2, p. 105-122. 10.1111/j.1753-0237.2008.00145.x
Type
Article accepté pour publication ou publiéDate
2008Journal name
OPEC Energy ReviewVolume
32Number
2Publisher
Wiley
Pages
105-122
Publication identifier
Metadata
Show full item recordAuthor(s)
Lautier, DelphineDauphine Recherches en Management [DRM]
Riva, Fabrice
Dauphine Recherches en Management [DRM]
Abstract (EN)
This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order to reach this objective, price fluctuations are separated into two components: an information component that reflects a rational assessment of the information arrival, and an error component that represents the noise introduced by the trading process. We show that a significant part of the volatility recorded during exchange trading hours is caused by mispricing errors. In particular, this phenomenon affects the nearest futures contract.Subjects / Keywords
microeconomy; data analysis; exchanges; markets; macroeconomyRelated items
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