Crude oil volatility: Hedgers or investors

George Milunovich; Ronald Ripple

Crude oil volatility: Hedgers or investors

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Abstract

We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalancing activity of oil hedgers has a significant and positive effect on the oil futures volatility. On the other hand, non-commercial players (investors) who take positions in the crude oil futures as well as stocks and bonds do not affect the crude oil volatility significantly by rebalancing their positions.

Original language	English
Pages (from-to)	2877-2883
Number of pages	7
Journal	Economics Bulletin
Volume	30
Issue number	4
Publication status	Published - 2010

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Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

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title = "Crude oil volatility: Hedgers or investors",

abstract = "We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalancing activity of oil hedgers has a significant and positive effect on the oil futures volatility. On the other hand, non-commercial players (investors) who take positions in the crude oil futures as well as stocks and bonds do not affect the crude oil volatility significantly by rebalancing their positions.",

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AB - We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalancing activity of oil hedgers has a significant and positive effect on the oil futures volatility. On the other hand, non-commercial players (investors) who take positions in the crude oil futures as well as stocks and bonds do not affect the crude oil volatility significantly by rebalancing their positions.

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Crude oil volatility: Hedgers or investors

Abstract

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