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

被引：0

作者：

Silvapulle, P ^{[1
]}

Moosa, IA ^{[1
]}

机构：

[1] La Trobe Univ, Sch Business, Bundoora, Vic 3083, Australia

来源：

JOURNAL OF FUTURES MARKETS | 1999年 / 19卷 / 02期

关键词：

D O I：

10.1002/(SICI)1096-9934(199904)19:2<175::AID-FUT3>3.0.CO;2-H

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 1999 John Wiley & Sons, Inc.

引用

页码：175 / 193

页数：19

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