Publication Type

Journal Article

Version

publishedVersion

Publication Date

6-2024

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

Discipline

Asian Studies | Finance and Financial Management

Research Areas

Finance

Areas of Excellence

Finance and Financial Markets

Publication

Journal of Risk and Financial Management

Volume

17

Issue

6

First Page

1

Last Page

22

ISSN

1911-8066

Identifier

10.3390/jrfm17060252

Publisher

MDPI

Additional URL

https://doi.org/10.3390/jrfm17060252

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