Testing the efficiency of the futures market for crude oil in the presence of a structural break

被引：4
|
作者：
Stevens, J. [1 ]
de Lamirande, P. [2 ]
机构：
[1] Univ Prince Edward Isl, Dept Econ, Charlottetown, PE C1A 5A3, Canada
[2] Cape Breton Univ, Shannon Sch Business, Sydney, NS B1P 6L2, Canada
来源：
APPLIED ECONOMICS | 2014年 / 46卷 / 33期
关键词：
futures market; crude oil; efficiency; parameter instability; RISK; PRICE; MACROECONOMY; PARAMETER; PREMIUMS; SPOT;
D O I：
10.1080/00036846.2014.950794
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The efficiency of the futures market for crude oil has been the subject of significant study, with the basis regression representing a popular methodology. However, the parameters of this model are subject to a structural break, casting doubt on any conclusion regarding the efficiency of the futures market. To address this problem, this article employs a simple generalization which is capable of testing the efficiency of a futures market in the presence of a structural break. Using this approach, strong evidence of inefficiency is found in the one month futures contract for West Texas Intermediate for the period between 1985 and 2013, which is otherwise not detected.
引用
收藏
页码：4053 / 4059
页数：7
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