Information transmission in energy futures markets - Lin, Sharon Xiaowen
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This book illustrated the information transmission mechanism in two benchmark oil futures markets, Brent crude in UK and WTI in US. It was one of the early studies that examined the information transmission issue among geographically separated energy markets. Analyses were carried out to uncover the information content embedded in prices and volatilities of Brent and WTI markets for the period from 1994 to 2000. The results supported the hypothesis that WTI was a dominant player and a possible market leader in the price discovery process. They are in contrast to the recent development in crude…mehr

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Produktbeschreibung
This book illustrated the information transmission mechanism in two benchmark oil futures markets, Brent crude in UK and WTI in US. It was one of the early studies that examined the information transmission issue among geographically separated energy markets. Analyses were carried out to uncover the information content embedded in prices and volatilities of Brent and WTI markets for the period from 1994 to 2000. The results supported the hypothesis that WTI was a dominant player and a possible market leader in the price discovery process. They are in contrast to the recent development in crude oil marketplace where Brent crude is widely regarded as an international benchmark while WTI is increasingly considered as US domestic crude. The research results revealed the market features before e-commerce such as electronic screen trading became popular. The empirical findings can have significant implications for traders, risk professionals, policy makers and other market participants. Advanced time series estimation techniques, such as GARCH modelling and duration modelling have been employed. The developed toolsets can be used or extended to serve as a framework for future research.
Autorenporträt
Dr. Lin researches in the inter-disciplinary area of energy and finance. She publishes widely and holds fellowships and fundings from major UK research bodies. She was a visiting fellow at UK Parliamentary Office of Science of Technology in 2009. Born in Shanghai, she holds an MSc(Economics), PhD(Finance), now works at Cass Business School, London.