The aim of this article is to empirically measure the contribution of the futures market to the price discovery process in the spot market for benchmark crude oils, specifically that for West Texas Intermediate (WTI). For this purpose, we test the hypothesis that the recent evolution of the...

In this analysis we more accurately capture the cointegrating relationship between natural gas and crude oil prices by endogenously incorporating shifts in the cointegrating vector into the estimation of the cointegrating equation. Specifically, we allow the cointegrating equation to switch...

We reconsider the conclusions about the importance of oil demand shocks and the unimportance of supply shocks reported by Kilian (2009). We investigate whether the proxy for worldwide real economic activity, dry bulk maritime freight costs, represents anything more than transportation costs by...

Recent developments in production of oil and natural gas from the tight sand and shale rock formations (primarily hydraulic fracturing and horizontal drilling) have a profound impact on the North American energy markets. The paper reviews recent crude oil production trends and their impact on...

In this study, we empirically analyze the price discovery process in the futures and spot markets for crude oil, heating oil and natural gas using daily closing prices. We use two different information share measures that are based on the methods proposed by Gonzalo and Granger (1995) and Lien...

We extend the analysis of causal relations between trader positions and oil prices and the process of price discovery by estimating a cointegrating vector autoregression (CVAR) model that expands the cash-and-carry relation between spot and futures prices to quantify long- and short-run...

This article models the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios from the Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

Inspired by the increasing evidence of financialization/speculation in commodity pricing, this paper constitutes a first attempt to build an information diffusion-based asset pricing framework for the oil futures market. With gradual information dissemination, slowly decaying uncertainty about...

In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural VAR approach for the period 1973:01 to 2011:07. The results show that for an oil-importing country like South Africa, stock returns...