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
收藏
页码：175 / 193
页数：19
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