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The relationship between spot and futures prices: Evidence from the crude oil market

✍ Scribed by Silvapulle, Param; Moosa, Imad A.

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 217 KB
Volume: 19
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199904)19:2<175::aid-fut3>3.0.co;2-h

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✦ Synopsis

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 futures markets react simultaneously to new information.

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