Price Discontinuities in Energy Spot and Futures Prices
AbstractHow often do jumps or price discontinuities occur on energy markets? What is the dynamics of the energy market sentiment (based on media coverage of economic fundamentals and other news events) that influence market behavior? How does the market sentiment affect the commodity returns? This study answers these questions by first, investigating jumping behavior of daily energy spot and nearest month futures returns for crude oil, natural gas, gasoline, heating oil and propane and second, by proposing a novel Cumulative Sentiment Index applied to the analysis of the detected jumps in returns. Our findings confirm previous studies that jumps are the common feature for all energy commodities studied. For some commodities such as gasoline spot and futures and heating oil futures, the average number of jumps per year has increased after the start of the Global Financial Crisis.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Monash University, Department of Economics in its series Monash Economics Working Papers with number 33-13.
Length: 23 pages
Date of creation: Jul 2013
Date of revision:
Contact details of provider:
Postal: Department of Economics, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/eco/
More information through EDIRC
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simon Angus).
If references are entirely missing, you can add them using this form.