The Behaviors of Speculators and Hedgers in Energy Futures Markets

• Main Authors: Yin-Shiou Wang, 王瀅琇
• Other Authors: I-Yuan Chuang
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/92921613650524693461

碩士 === 國立中正大學 === 財務金融所 === 97 === This study uses vector autoregressive analysis (VAR) to examine the dynamic interactions among futures price volatility, trading volume (speculators), and open interest (hedgers) in light, sweet crude oil futures market. Granger causality, forecast error of variance decompositions, and impulse response functions are also utilized. Granger causality test shows that there is causal feedback between open interest and volatility, and between open interest and trading volume. The results show that speculators destabilize the futures market, while hedgers help stabilize the market. Speculators and hedgers demand for fewer futures contracts when futures price volatility increases. In addition, as futures contract approaches expiration day, speculators and hedgers decrease their trading activity and Samuelson hypothesis is not support in crude oil futures market. The results of forecast error variance decompositions show that futures price volatility appears to have sizeable effects on the volume variation, indicating that trading activity of speculators is affected by futures price volatility. The results of impulse response functions indicate that the response of volatility is slow, and speculators are sensitive to volatility than to hedgers’ trading activity. Finally, trading activity of hedgers is not sensitive to the shock of futures price volatility and speculators’ trading activity.