 Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures MarketsJianmin Liu, Zeguang Li, Bluford Putnam and Arthur Yu Journal of Futures Markets, 2025, vol. 45, issue 5, 407-428 Abstract: This paper investigates the interplay between speculative and price volatility in the energy futures markets over various cycles, utilizing wavelet coherence and a double‐layer network approach. Contrary to conventional wisdom, we find that long‐term price volatility in individual futures markets, driven by extreme events, persistently leads to increased speculative trading, partly associated with increased hedging and risk management activity. The connectedness of the two‐layer network system is dominated by speculation and volatility spillovers in the short and long term, respectively. The cross‐layer spillover effects between price volatility and speculation are more pronounced in the long term. The direct and network effects of speculation reinterpret the interaction patterns among various futures markets. Specifically, the crude oil market, as a net receiver of spillover effects, exhibits an impact of speculation on price volatility driven primarily by network effects. However, the natural gas market is dominated by the direct effects of speculation. Date: 2025 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:45:y:2025:i:5:p:407-428 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Futures Markets is currently edited by Robert I. Webb More articles in Journal of Futures Markets from John Wiley & Sons, Ltd. |
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