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Price relationships in crude oil futures: new evidence from CFTC disaggregated data

โœ Scribed by Julien Chevallier

Book ID
126346931
Publisher
Springer
Year
2012
Tongue
English
Weight
564 KB
Volume
15
Category
Article
ISSN
1432-847X

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โœ Silvapulle, Param; Moosa, Imad A. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 217 KB ๐Ÿ‘ 2 views

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