石油先物・天然ガス先物の4本値データを用いた価格変動性におけるアノマリーの実証分析
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| ID | 4455 |
| フルテキストファイル | |
| その他のタイトル（欧） | Empirical Analysis of Anomalies in Price Volatility using High, Low, Open, and Close Prices of Oil and Natural Gas Futures
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| 作成者 | |
| Self DOI [info:doi/] | |
| 掲載誌名 |
経済理論
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| ISSN | 04516222
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| NCID | AN00071425
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| 巻 | 405
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| 開始ページ | 65
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| 終了ページ | 83
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| 並び順 | 05
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| 発行日 | 2021-06-01
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| 本文言語 |
日本語
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| 記事種別(和) | 論文
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| キーワード(和) | 原油・ガス先物
4本値
アノマリー
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| キーワード(欧) | crude oil and natural gas futures
high-low-open-close price
anomaly
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| 抄録(欧) | 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.
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| 資料タイプ |
紀要論文
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| 著者版フラグ |
出版者版
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