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The relationship between spot and futures prices: Evidence from the crude oil market
Author(s) -
Silvapulle Param,
Moosa Imad A.
Publication year - 1999
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/(sici)1096-9934(199904)19:2<175::aid-fut3>3.0.co;2-h
Subject(s) - futures contract , spot contract , economics , crude oil , econometrics , west texas intermediate , causality (physics) , financial economics , spot market , sample (material) , futures market , chemistry , engineering , petroleum engineering , electricity , physics , electrical engineering , chromatography , quantum mechanics
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