유가변동성에 대한 투기거래의 효과 분석
The Effect of Speculative Trades on the Volatility of the WTI Spot Price
1
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
본 연구에서는 WTI 현물가격 변동성과 선물 비상업거래의 미결제약정수로부터 산출된 투기거래의 대리변수 간의 동태관계를 살펴보았다. 1992년 10월부터 2010년 12월까지의 주간자료를 GARCH 모형에 적용하여 분석한 결과에서 투기거래는 유가의 변동성을 약화시키는 긍정적인 역할을 하는 것으로 나타났다. 하지만, 자료 기간을 분할한 추정과 기간더미를 사용한 추정 결과에서 고유가와 급격한 변동의 상황 중에는 유가 변동성에 대한 투기거래의 긍정적인 영향이 통계적으로 유의하게 나타나지 않았다. 이와 같은 결과는 2004년부터 시작된 고유가 상황에서 투기거래가 유가 변동성을 확대하였다는 주장과 일치하지는 않지만 동 기간 중에 유가 변동성에 대한 투기거래의 영향이 일부 전환되었다는 증거는 제시하고 있다.
Abstract
This study examines the dynamic relationship between the volatilities of the WTI spot price, and the proxy for speculative trades calculated from open interest of noncommercial trades in the NYMEX crude oil futures market. For the empirical analysis, weekly prices and speculation indexes from October 1992 to December 2010 are applied with GARCH model. The results show that the speculative trades weaken the volatility of oil price. However, the result from other estimations, one uses divided dataset based on the oil price trends and the other uses time dummies, do not show the significant result, unlike the result using the whole dataset. These results do not provide the evidence that the speculative trades pump up the serious volatility during the high oil price periods started in 2004, but they still show that the effects of speculative trades on the volatility of oil price have changed during the period.
참고문헌 (24)
- 원유 파생상품시장 규제 움직임과 향후 전망, "김기정", ~, pp.한은조사연구 2009-13 (2009)
- 홍정효, "서부텍사스 중질유선물(WTI futures) 시장의 거래량과 수익률사이의 전이효과에 관한 연구", 산업경제연구, 23(4), pp.2157~2170 (2010), 한국산업경제학회
- 최성희, "Does Investor’s Sentiment Predict Prices Movements? A Case Study of the NYMEX Petroleum Futures Markets", 에너지경제연구, 7(2), pp.53~73 (2008), 에너지경제연구원
- Admati, A., "A Theory of Intraday Patterns: Volume and Price Variability", Review of Financial Studies, 1, pp.3~40 (1988)
- Antoniou, Antonios, "Future Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract using GARCH", Journal of Banking & Finance, 19, pp.117~129 (1995)
- Box, G. E. P., "Time Series Analysis: Forecasting and Control" (1976), Holden-Day
- Bollerslev, Timothy, "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31(3), pp.307~327 (1986)
- Causality Test between Investor's Sentiment and Price Movements: A Case Study of the NYMEX Crude Oil Futures Market, "Choi, Sunghee", ~ (2010)
- Cifarelli, Giulio, "Oil Price Dynamics and Speculation: a Multivariate Financial Approach", Energy Economics, 32(2), pp.363~372 (2010)
- Speculation and Recent Volatility in the Price of Oil, "Einloth, James", ~ (2009)
- The Effect of Speculative Investment on the WTI Crude Oil Futures Market, "Endo, Misao", ~ (2010)
- Engel, Robert F, "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 50(4), pp.987~1007 (1982)
- Interim Report on Crude Oil, "ITF", ~ (2008)
- Kaldor, N., "Speculation and Economic Stability", Review of Economic Studies, 7(1), pp.1~27 (1939)
- Keynes, J. M., "The Applied Theory of Money" (1930), Macmillan & Co
- Causes and Consequences of Oil shock 2007-08, "Hamilton, James D.", ~ (2009)
- Kaufmann, Robert K., "The Role of Market Fundamentals and Speculation in Recent Price Changes for Crude Oil", Energy Policy, 39(1), pp.105~115 (2011)
- Kyle, A., "Continuous Auctions and insider Trading", Econometrica, 53, pp.1315~1335 (1985)
- The Volume of Trade and the Variability of Prices: A Framework for Analysis in Rational Expectations Equilibria, "Pfleiderer, P.", ~ (1984)
- Mandelbrot, Benoit, "The Variation of Certain Speculative Prices", The Journal of Business, 36(4), pp.394~419 (1963)
- Testimony before the Committee on Homeland Security and Governmental Affairs United States Senate, "Master, W. Michael", ~ (2008)
- Dispersion in Beliefs among Speculators as a Determinant of Crude Oil Prices, "Mobert, Jochen", Deutsche Bank Research, ~ (2009)
- Wang, Changyun, "Investor Sentiment and Return Predictability in Agricultural Futures Markets", The Journal of Futures Markets, 21(10), pp.929~952 (2001)
- Wang, Changyun, "Investor Sentiment, Market Timing, and Futures Returns", Applied Financial Economics, 13, pp.891~898 (2003)