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Journal article
Causality between market liquidity and depth for energy and grains
Energy economics, v 34(5), pp 1683-1692
Sep 2012
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy–grain nexus. It also investigates the own- and cross-market impacts for the lagged grain trading volume and the open interest in the energy and grain markets. According to the results, the conventional view, for which the impacts are from oil to gasoline to ethanol to grains in the energy–grain nexus, does not hold well in the long run because the oil price is influenced by gasoline, soybeans and oil. Moreover, gasoline is preceded by only the oil price, and ethanol is not foreshadowed by any of the prices. However, in the short run, a two-way feedback in both directions exists in all markets. The grain trading volume effect across oil and gasoline is more pronounced in the short-run than in the long-run, satisfying both the overconfidence/disposition and the new information hypotheses across markets. The results for the ethanol open interest show that money flows out of this market in both the short- and long-run, but no results suggest across market inflows or outflows to the other grain markets.
► This study examines the relationships between energy and grains futures prices. ► It also investigates the impacts of the lagged grain trading volume and the open interest. ► It explores if ethanol plays any catalyst role in this energy–grains price nexus. ► The grain trading volume effects are more pronounced in the short-run than in the long-run. ► Ethanol does not play the catalyst role in this nexus.
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Details
- Title
- Causality between market liquidity and depth for energy and grains
- Creators
- Ramazan Sari - Middle East Technical UniversityShawkat Hammoudeh - Drexel UniversityChia-Lin Chang - National Chung Hsing UniversityMichael McAleer - Econometric Institute
- Publication Details
- Energy economics, v 34(5), pp 1683-1692
- Publisher
- Elsevier
- Grant note
- Australian Research Council National Science Council, Taiwan Japan Society for the Promotion of Science
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000308573300040
- Scopus ID
- 2-s2.0-84864828824
- Other Identifier
- 991019168079304721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics