Whether Shanghai oil futures prices have altered the dominant role of global benchmarks remains unclear. By applying a time-varying copula model, we find that correlations between crude and Brent West Texas Intermediate (WTI) are low but time varying. The correlation WTI high stable. COVID-19 outbreak has increased strength interactions in different markets.

This study examines how speculative and hedging sentiments influence the returns volatilities of energy futures markets. We construct sentiment indices based on weekly data fund commercial positions four futures: crude oil, heating gasoline, natural gas, traded New York Mercantile Exchange (NYMEX) from 15 January 2013 to 5 February 2019. Our demonstrates that generates greater market fluctuatio...

This research attempts to propose a new measure of investor psychological bias with big data crawled from the web. The author constructs the investor bias measure with web search data and investigate the influences of this new measure on crude oil futures prices. Using 225,250 data points from Google, this paper computes the investor bias, and evaluates it with trading volumes. The author estab...

This paper looks at speculative behavior in the international oil market. Much of the blame for oil-market turbulence has been placed on speculators, particularly hedge funds. Speculative capital has been characterized as “hot money,” with capital flows driven by “herding,” “flocking,” and “contagion.” Policies to deal with volatility by weakening, or even disabling speculation, have been based...

Abstract Using oil futures, we examine expectation formation and how it alters the macroeconomic transmission of shocks. Our empirical framework, where investors learn about persistence oil-price movements, successfully replicates fluctuations in futures since Late 1990s. By embedding this learning mechanism an estimated model, document that increase TFP-driven demand largely accounts for inves...

Implementation of hydraulic fracturing dramatically altered the fundamentals in the oil and gas markets. A new technology rst got implemented in the natural gas market, but by 2012 unprecedentedly low gas prices forced most exploration rms to switch to shale oil exploration. Large capital expenditure on drilling activity resulted in the growth of oil production in the US, and likely triggered t...

A new Bayesian multi-chain Markov Switching GARCHmodel for dynamic hedging in energy futures markets is developed: a system of simultaneous equations for return dynamics on the hedged portfolio and futures is introduced. More specifically, both the mean and variance of the hedged portfolio are assumed to be governed by two unobserved discrete state processes, while the futures dynamics is drive...