Crude oil volatility

Hedgers or investors

George Milunovich, Ronald Ripple

Research output: Contribution to journalArticle

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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 languageEnglish
Pages (from-to)2877-2883
Number of pages7
JournalEconomics Bulletin
Volume30
Issue number4
Publication statusPublished - 2010

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