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Market efficiency among futures with different maturities: Evidence from the crude oil futures market

✍ Scribed by Kaoru Kawamoto; Shigeyuki Hamori

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 116 KB
Volume: 31
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20479

No coin nor oath required. For personal study only.

✦ Synopsis

We would like to thank an anonymous referee and Robert Webb (the Editor) for their helpful comments and suggestions that significantly improved the quality of the study. The ideas expressed in this study are those of the authors and do not necessarily reflect the views of Osaka Gas.

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This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and fut