Systemic risk in energy derivative markets: a graph theory analysis
This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between commodities and other financial assets. In such a high dimensional analysis, graph theory enables us to understand the dynamic behavior of our price system. We show that energy markets - as a whole - stand at the heart of this system. We also establish that crude oil is itself at the center of the energy complex. Further, we provide evidence that commodity markets have become more integrated over time.
|Date of creation:||2012|
|Date of revision:|
|Publication status:||Published, Energy Journal, 2012, 33, 6, 215-239|
|Note:||View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00738201|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Haigh, Michael S. & Bessler, David A., 2002.
"Causality And Price Discovery: An Application Of Directed Acyclic Graphs,"
28588, University of Maryland, Department of Agricultural and Resource Economics.
- Michael S. Haigh & David A. Bessler, 2004. "Causality and Price Discovery: An Application of Directed Acyclic Graphs," The Journal of Business, University of Chicago Press, vol. 77(4), pages 1099-1121, October.
- Haigh, Michael S. & Bessler, David A., 2002. "Causality And Price Discovery: An Application Of Directed Acyclic Graphs," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19057, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Lautier, Delphine, 2005. "Segmentation in the Crude Oil Futures Term Structure," Economics Papers from University Paris Dauphine 123456789/95, Paris Dauphine University.
- Robert S. Pindyck & Julio J. Rotemberg, 1988.
"The Excess Co-Movement of Commodity Prices,"
NBER Working Papers
2671, National Bureau of Economic Research, Inc.
- Adusei Jumah & Sohbet Karbuz & Gerhard Runstler, 1999. "Interest rate differentials, market integration, and the efficiency of commodity futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 101-108.
When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00738201. See general 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: (CCSD)
If references are entirely missing, you can add them using this form.