✦ LIBER ✦

Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets

✍ Scribed by Lorne N. Switzer; Mario El-Khoury

Publisher: John Wiley and Sons
Year: 2006
Tongue: English
Weight: 798 KB
Volume: 27
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20235

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study investigates the efficiency of the New York Mercantile Exchange (NYMEX) Division light sweet crude oil futures contract market during recent periods of extreme conditional volatility. Crude oil futures contract prices are found to be cointegrated with spot prices and unbiased predictors of future spot prices, including the period prior to the onset of the Iraqi war and until the formation of the new Iraqi government in April 2005. Both futures and spot prices exhibit asymmetric volatility characteristics. Hedging performance is improved when asymmetries are accounted for. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:61–84, 2007

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