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Liquidity and volatility in the American crude oil futures market

Riva, Fabrice; Lautier, Delphine (2004), Liquidity and volatility in the American crude oil futures market, Northern Finance Association, 2004-09, Saint John's, Canada

Type
Communication / Conférence
Date
2004
Conference title
Northern Finance Association
Conference date
2004-09
Conference city
Saint John's
Conference country
Canada
Metadata
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Author(s)
Riva, Fabrice
Lautier, Delphine
Abstract (EN)
This article focuses on the impact of derivative markets on the American crude oil market. It first analyses the depth and liquidity of the market, and shows that there is a huge increase in activity from 1989 to 2003. Then the study focuses on prices volatility. The latter is 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 due to mispricing errors.
Subjects / Keywords
crude oil; roll over; speculation; futures markets; Volatility
JEL
D83 - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
D84 - Expectations; Speculations
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products

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