The relationship between spot and futures prices: Evidence from the crude oil market
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. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 175–193, 1999
Year of publication: |
1999
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Authors: | Silvapulle, Param ; Moosa, Imad A. |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 19.1999, 2, p. 175-193
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Publisher: |
John Wiley & Sons, Ltd. |
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