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

Author

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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)

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.

Suggested Citation

  • David K. Ding & Wui Boon Lim, 2024. "Lessons from the Demise of the Brent Crude Oil Futures Contract on the Singapore Exchange," JRFM, MDPI, vol. 17(6), pages 1-22, June.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:252-:d:1417893
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    References listed on IDEAS

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    Cited by:

    1. Woradee Jongadsayakul, 2024. "Dynamics of Foreign Exchange Futures Trading Volumes in Thailand," Risks, MDPI, vol. 12(9), pages 1-13, September.

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