Causality between market liquidity and depth for energy and grains

Download

index.pdf

Date

2012-09-01

Author

Sarı, Ramazan
Chang, Chia-Lin
MCaleer, Michael

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

55
views

0
downloads

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.

Subject Keywords

Grains, Energy, Depth, Market liquidity, Causality

URI

https://hdl.handle.net/11511/43204

Journal

ENERGY ECONOMICS

DOI

https://doi.org/10.1016/j.eneco.2012.02.006

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

Volatility spillover between oil and agricultural commodity markets NAZLIOĞLU, ŞABAN; ERDEM, CUMHUR; Soytaş, Uğur (Elsevier BV, 2013-03-01) This study examines volatility transmission between oil and selected agricultural commodity prices (wheat, corn, soybeans, and sugar). We apply the newly developed causality in variance test and impulse response functions to daily data from 01 January 1986 to 21 March 2011. In order to identify the impact of the food price crisis, the data are divided into two sub-periods: the pre-crisis period (01 January 1986 to 31 December 2005) and the post-crisis period (01 January 2006-21 March 2011). The variance cau...
Adaptation of Renewable Based Power Plants to the Energy Market Using Battery Energy Storage Systems Durna, E.; Parlak, D.; Logoglu, E. Uz; Gercek, C. O. (2014-10-22) This paper presents a method for the adaptation of a wind power plant to the energy market using battery energy storage systems (BESS) to show the feasibility of using fast-response batteries, and to calculate its payback period. The proposed method is also used to investigate the optimum battery size according to the installed capacity of the wind farm based on the price and wind forecast, and arbitrage opportunity so as to maximize the profit of the investor. The profit obtained from the market by the bat...
Investigation of temperature profile in high temperature PEM fuel cell Çağlayan, Dilara Gülçin; Eroğlu, İnci; Devrim, Yılser; Department of Chemical Engineering (2016) High temperature polymer electrolyte membrane fuel cells (HT-PEMFC) are promising alternative energy sources for the future. As an advantageous tool in the design of a system, modeling requires less time compared to the experiments as well as its low cost. This study includes both isothermal and non-isothermal three-dimensional mathematical models for a HT-PEMFC having an active area of 25 cm2. Governing equations are solved by using Comsol Multiphysics 5.0 “Batteries & Fuel Cells” module, which is a commer...
Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis Kocaarslan, Baris; Soytaş, Uğur (2019-11-01) There is an ongoing debate on how oil prices affect the stock prices of clean energy companies. We contribute to this debate by questioning the possibility of asymmetric linkages between oil prices, interest rates, and the stock prices of clean energy and technology firms. Using a recently developed approach (nonlinear auto-regressive distributed lag (NARDL) model), we document that ignoring the presence of nonlinearities leads to misleading results. The analyses reveal significant asymmetric effects among ...
Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar) KOCAARSLAN, BARIŞ; Soytaş, Uğur (2019-10-01) There is increased interest in the dynamic relationships between the stock prices of clean energy and technology firms and oil prices in the literature. Existing works suggest a time-dependent link between them, but there is a gap of knowledge regarding the drivers of this time-dependent relationship. To contribute to this literature, we first identify dynamic conditional correlations (DCCs) between the prices of clean energy and technology stocks and oil prices to investigate the nature of these dynamic co...

Citation Formats

R. Sarı, C.-L. Chang, and M. MCaleer, “Causality between market liquidity and depth for energy and grains,” ENERGY ECONOMICS, pp. 1683–1692, 2012, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/43204.