Template-type: ReDIF-Paper 1.0
Author-Name: Ramazan Sari
Author-Workplace-Name: Department of Business Administration, Middle East Technical University 
Author-Name: Shawkat Hammoudeh
Author-Workplace-Name: Lebow College of Business, Drexel University, Philadelphia, PA, USA
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University, Taichung, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of 
	Economics) Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Title: Causality Between Market Liquidity and Depth for Energy and Grains
Abstract: This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans 
	and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged 
	grain trading volume and open interest in the energy and grain markets. According to the results, the 
	conventional view, for which the impacts are from oil to gasoline to ethanol to grains in the energy-grain 
	nexus, does not hold well in the long run because the oil price is influenced by gasoline, soybeans and 
	oil. Moreover, gasoline is preceded by only the oil price and ethanol is not foreshadowed by any of the 
	prices. However, in the short run, two-way feedback in both directions exists in all markets. The grain 
	trading volume effect across oil and gasoline is more pronounced in the short run than the long run, 
	satisfying both the overconfidence/disposition and new information hypotheses across markets. The results 
	for the ethanol open interest shows that money flows out of this market in both the short and long run, 
	but no results suggest across market inflows or outflows to the other grain markets.
Classification-JEL: Q11, Q18, Q42. 
Keywords: Causality, market liquidity, depth, energy, grains.
Length: 43 pages 
Creation-Date: 2011 
Number: 2011-10
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1110.txt
File-URL: https://eprints.ucm.es/id/eprint/12614/1/1110.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1110