RT Report
T1 Causality Between Market Liquidity and Depth for Energy and Grains
A1 Sari, Ramazan
A1 Hammoudeh, Shawkat
A1 Chang, Chia-Lin
A1 McAleer, Michael
AB 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.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2011
FD 2011-04
LK https://hdl.handle.net/20.500.14352/48989
UL https://hdl.handle.net/20.500.14352/48989
LA eng
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NO 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.
NO National Science Council, Taiwan,
NO Australian Research Council
NO Japan Society for the Promotion of Science
DS Docta Complutense
RD 29 abr 2024