동북아 석유선물시장의 가격 변동성 정보 흐름 -일본 동경공업품거래소 석유선물계약을 중심으로-
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The analysis on information transmission of price and price volatility among petroleum futures markets of Japan, China, and the United States using bivariate AR-ARCH models shows the following results. First, NYMEX crude oil futures market has a dominant position over the other petroleum futures markets in terms of price and price volatility information flow. Second, TOCOM petroleum futures market has been playing its role as a price-setter in Asia and it's been exchanging price information quite briskly with the overseas petroleum markets. Nonetheless, any price volatility information feedback has not been made among TOCOM, SHFE, and NYMEX markets.
Abstract
The analysis on information transmission of price and price volatility among petroleum futures markets of Japan, China, and the United States using bivariate AR-ARCH models shows the following results. First, NYMEX crude oil futures market has a dominant position over the other petroleum futures markets in terms of price and price volatility information flow. Second, TOCOM petroleum futures market has been playing its role as a price-setter in Asia and it's been exchanging price information quite briskly with the overseas petroleum markets. Nonetheless, any price volatility information feedback has not been made among TOCOM, SHFE, and NYMEX markets.
참고문헌 (8)
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