报告题目：Liquidity provision channels and oil price volatility

报告所属学科：管理科学与工程

报告人：王建新（悉尼科技大学）

报告时间：2023年9月13日 14:00-17:00

报告地点：经管学院702会议室

报告摘要：

This paper evaluates the role of hedgers and speculators as liquidity providers in oil markets and analyses the effects of these liquidity provision channels on weekly volatility. Using two measures of hedging pressure that capture liquidity provision by speculators and hedgers, we find that liquidity provision by speculators reduces volatility, while short-term liquidity provision by hedgers increases volatility. Oil volatility tends to be more responsive to hedgers’liquidity provision than variations induced by speculators’liquidity provisions. These channels are also significant determinants of volatility in inverted and normal markets, with the effects being more pronounced in inverted markets. Under low financial and business-cycle risk environments, liquidity provision channels typically have a measurable impact on volatility. These new liquidity provision channels with significant and opposite effects on weekly volatility extend current understanding of the role of hedgers’trading motives in oil markets beyond the insurance premium.

报告人简介：

Jianxin Wang received his B.sc. from Tsinghua University in Beijing, China, and his Ph.D. in economics from Northwestern University in the United States. He worked as a financial analyst in Chicago before joining the University of New South Wales. He has held visiting positions in Yonsei University, South Korea, the Capital Market and Financial Institution Supervisory Agency of Indonesia, Beijing and Nankai Universities in China, and the Central Economic-Mathematical Institute, Academy of Sciences, USSR. He joined UTS in April 2011.