書誌事項
- タイトル別名
-
- セキユ サキモノ ・ テンネン ガス サキモノ ノ 4ホンチ データ オ モチイタ カカク ヘンドウセイ ニ オケル アノマリー ノ ジッショウ ブンセキ
- Empirical Analysis of Anomalies in Price Volatility using High, Low, Open, and Close Prices of Oil and Natural Gas Futures
この論文をさがす
抄録
The purpose of this study is to clarify the seasonal effects of crude oil and natural gas futures by the volatility index using four-value data on the effects on price volatility. Specifically, it reexamines regarding the day-of-the-week effect, the monthly effect, and effects by period within a month. As a result, a day-of-the-week effect was observed, different from the well-known Monday effect in the stock market. The same tendency was revealed in the monthly effect. Although seasonal effects exist, individual effects are quite strong, suggesting that it depends on the characteristics of the commodity market.
収録刊行物
-
- 経済理論
-
経済理論 405 65-83, 2021-06-01
dummy publisher
- Tweet
詳細情報 詳細情報について
-
- CRID
- 1390572176686094464
-
- NII論文ID
- 120007175655
-
- NII書誌ID
- AN00071425
-
- ISSN
- 04516222
-
- NDL書誌ID
- 031790668
-
- 本文言語コード
- ja
-
- データソース種別
-
- JaLC
- IRDB
- NDL
- CiNii Articles