| Field |
Value |
Language |
|
dc.contributor.author |
Nikitopoulos, CS |
|
|
dc.contributor.author |
Thomas, AC |
|
|
dc.contributor.author |
Wang, J |
|
|
dc.date.accessioned |
2024-01-09T01:20:17Z |
|
|
dc.date.available |
2024-01-09T01:20:17Z |
|
|
dc.date.issued |
2024 |
|
|
dc.identifier.citation |
Journal of Futures Markets, 2024, 44, (2), pp. 252-280 |
|
|
dc.identifier.issn |
0270-7314 |
|
|
dc.identifier.issn |
1096-9934 |
|
|
dc.identifier.uri |
http://hdl.handle.net/10453/174126
|
|
|
dc.description.abstract |
<jats:title>Abstract</jats:title><jats:p>This study evaluates the dual role of hedging pressure (HP) in oil futures markets and analyses its effects on weekly oil volatility. We find that HP driven by hedgers' insurance demands is negatively related to volatility, while HP driven by speculators' short‐term liquidity demands is positively related to volatility. Oil volatility tends to be more responsive to speculators' short‐term liquidity demands than variations induced by hedgers' insurance demands. These channels are also significant determinants of volatility in inverted and normal markets, with the effects being more pronounced in inverted markets. Under low financial and business‐cycle risk environments, the two HP channels typically have a measurable impact on volatility. These opposing effects of HP on weekly volatility provide empirical support on the significance of the dual role of hedgers in oil markets, as price insurance seekers and as short‐term liquidity providers.</jats:p> |
|
|
dc.language |
en |
|
|
dc.publisher |
Wiley |
|
|
dc.relation.ispartof |
Journal of Futures Markets |
|
|
dc.relation.isbasedon |
10.1002/fut.22470 |
|
|
dc.rights |
info:eu-repo/semantics/restrictedAccess |
|
|
dc.rights |
This is an open access article under the terms of the Creative Commons Attribution‐NonCommercial‐NoDerivs License, which permits use and distribution in any medium, provided the original work is properly cited, the use is non‐commercial and no modifications or adaptations are made.
© 2023 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC. |
|
|
dc.subject |
1502 Banking, Finance and Investment |
|
|
dc.subject.classification |
Finance |
|
|
dc.subject.classification |
3502 Banking, finance and investment |
|
|
dc.title |
Hedging pressure and oil volatility: Insurance versus liquidity demands |
|
|
dc.type |
Journal Article |
|
|
utslib.citation.volume |
44 |
|
|
utslib.for |
1502 Banking, Finance and Investment |
|
|
pubs.organisational-group |
/University of Technology Sydney |
|
|
pubs.organisational-group |
/University of Technology Sydney/Faculty of Business |
|
|
pubs.organisational-group |
/University of Technology Sydney/Faculty of Business/Finance Discipline |
|
|
pubs.organisational-group |
/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre |
|
|
pubs.organisational-group |
/University of Technology Sydney/Strength - CBSD - Centre for Business and Sustainable Development |
|
|
utslib.copyright.status |
open_access |
* |
|
pubs.consider-herdc |
true |
|
|
dc.date.updated |
2024-01-09T01:20:16Z |
|
|
pubs.issue |
2 |
|
|
pubs.publication-status |
Published |
|
|
pubs.volume |
44 |
|
|
utslib.citation.issue |
2 |
|
