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The relationship between different price indices: Evidence from Turkey

✍ Scribed by Yilmaz Akdi; Hakan Berument; Seyit Mümin Cilasun

Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
253 KB
Volume
360
Category
Article
ISSN
0378-4371

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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