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George Milunovich and Ronald Ripple
''Crude Oil Volatility: Hedgers or Investors''
( 2010, Vol. 30 No.4 )
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.
Keywords: Crude Oil Futures Volatility, Optimal Portfolio Weight, Hedge Ratio, GARCH, Time-Series, Effects of Investors and Hedgers
Q4 - Energy: General
Manuscript Received : Aug 25 2010 Manuscript Accepted : Nov 03 2010

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