Lessons from the Demise of the Brent Crude Oil Futures Contract on the Singapore Exchange

David K. Ding () and Wui Boon Lim
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David K. Ding: Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, Singapore 178899, Singapore
Wui Boon Lim: Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, Singapore 178899, Singapore

JRFM, 2024, vol. 17, issue 6, 1-22

Abstract: This paper highlights the lessons drawn from the demise of the Brent Crude Oil futures contract that was traded on the Singapore Stock Exchange (SGX). We analyze the market microstructure of the contract prior to its failure—specifically, the number of trades, trading volume, open interest, bid–ask spread, and volatility. We find a steady decline in the mean volume, open interest, and number of trades as the contracts near their demise. The bid–ask spread of the contract also widens. Investigations of the mutual offset feature of the Brent Crude Oil futures contract between SGX and the International Commodity Exchange (ICE) provides evidence that trading volume, open interest, and the number of trades increase significantly during 4:00–5:45 PM local time when mutual offset is available.

Keywords: brent crude futures; contract failure; Singapore exchange (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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