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Browsing Publications by Subject "crude oil futures"

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    ItemOpen Access
    An examination of the flow characteristics of crude oil: evidence from risk-neutral moments
    (Colorado State University. Libraries, 2015-10-10) Chatrath, Arjun, author; Miao, Hong, author; Ramchander, Sanjay, author; Wang, Tianyang, author; Energy Economics, publisher
    This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied volatility framework and the Black–Scholes model. We find a tenuous and time-varying association between returns and implied volatility and its innovations. Specifically, changes in implied volatility are found to be meaningfully associated with crude returns only over the period spanning the recent financial crisis. The results lead us to conclude that crude oil prices are determined primarily in a flow demand/supply environment. Finally, we document that oil risk is priced into the cross-section of stock returns in the oil and transportation sectors.
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    ItemOpen Access
    Price discovery in crude oil futures
    (Colorado State University. Libraries, 2014-09-15) Elder, John, author; Miao, Hong, author; Ramchander, Sanjay, author; Energy Economics, publisher
    This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we find that WTI maintains a dominant role in price discovery relative to Brent, with an estimated information share in excess of 80%, over a sample from 2007 to 2012. Our analysis is robust to different decompositions of the sample, over pit-trading sessions and non-pit trading sessions, segmentation of days associated with major economic news releases, and data measured to the millisecond. We find no evidence that the dominant role of WTI in price discovery is diminished by the price spread between Brent that emerged in 2008.