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Causality Between Market Liquidity and Depth for Energy and Grains

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Sari, Ramazan y Hammoudeh, Shawkat y Chang, Chia-Lin y McAleer, Michael (2011) Causality Between Market Liquidity and Depth for Energy and Grains. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 10, 2011, ] (No publicado)

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URL Oficial: http://eprints.ucm.es/12614/


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Resumen

This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged grain trading volume and open interest in the energy and grain markets. According to the results, the conventional view, for which the impacts are from oil to gasoline to ethanol to grains in the energy-grain nexus, does not hold well in the long run because the oil price is influenced by gasoline, soybeans and oil. Moreover, gasoline is preceded by only the oil price and ethanol is not foreshadowed by any of the prices. However, in the short run, two-way feedback in both directions exists in all markets. The grain trading volume effect across oil and gasoline is more pronounced in the short run than the long run, satisfying both the overconfidence/disposition and new information hypotheses across markets. The results for the ethanol open interest shows that money flows out of this market in both the short and long run, but no results suggest across market inflows or outflows to the other grain markets.


Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

For financial support, the third author wishes to thank the National Science Council, Taiwan, and the fourth author wishes to thank the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science.

Palabras clave:Causality, Market liquidity, Depth, Energy, Grains.
Materias:Ciencias Sociales > Economía > Finanzas
Ciencias Sociales > Economía > Econometría
JEL:Q11, Q18, Q42
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2011
Número:10
Código ID:12614
Depositado:25 Abr 2011 12:04
Última Modificación:17 Jun 2016 08:31

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