能源期貨波動、交易活動和結構轉變

Energy Futures Volatility；Trading Activity；and Regime Switching

本研究以門檻自我回歸模型，針對紐約商品交易所原油和熱燃油能源期貨，探討並驗證能源期貨價格在2000年期初是否是結構變動之關鍵點，以釐清價格劇變前後期間，能源期貨交易活動不同大小的百分位數與其價格波動間之不對稱關係。結果驗證2000年後樣本期間強列地支持Bessembinder and Seguin (1993)結果，意味非預期交易與波動存在正向關係，而預期未平倉合約和波動二者為負向關係。本文進一步分析非預期期貨交易活動之不同百分位數對波動影響，結果發現2000年後，原油和熱燃油能源期貨市場中，極高或極低交易量和極高未平倉合約數分別對波動深具重大影響，尤以熱燃油市場為最。對照2000年前，其影響相對較小。因此，本文結果提供了具有財務意涵的參考價值，即波動、交易量、未平倉合約數間關係具有時變性。

This paper examines asymmetric impacts of various percentages of futures trading activities on price volatility for energy futures of crude oil and heating oil at the New York Mercantile Exchange (NYMEX). Due of turbulent energy futures prices from the early 2000s, this paper applies threshold autoregressive model to determine structure changes, and the sample prior to and beginning 2000s are also analyzed separately. Results for periods beginning 2000s strongly confirm findings by Bessembinder and Seguin (1993) of a significant positive relation between unexpected volume and volatility and a significant negative relation between expected open interest and volatility. We further find stronger impacts of extremely higher or lower unexpected volume for both two and extremely higher unexpected open interest for heating oil on the volatility since 2000s whereas smaller impacts are found prior to 2000s. Hence, it provides more valuable insights on varying relations of volatility, volume, and open interest in energy futures markets throughout the time.