بررسي رابطه حجم معاملات با تغييرات قيمت نفت خام در بورسهاي نفتي با استفاده از مدل تصحيح خطاي برداري VECM

The Relationship between Trading Volumes and the Variations in Crude Oil Prices in Petroleum Exchanges Using Vector Error Correction Model (VECM)

The high price volatility in the market indicates the severity of price variations hence making the price forecasting a more challenging issue. This is due to the fact that higher price volatility in a market implies higher uncertainties and an increased level of risk. Upon the analysis of volatile behavior of crude oil prices during different periods over 1987 to 2008, this paper attempts to explore the causal relationship between the variations in crude oil prices and trading volumes in petroleum exchanges using the VECM model. The results show that the direction of causality is from the volumes traded to the price variations