Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test

被引：62

作者：

Alzahrani, Mohammed ^{[1
]}

Masih, Mansur ^{[2
]}

Al-Titi, Omar ^{[1
]}

机构：

[1] King Fahd Univ Petr & Minerals, Dhahran 31261, Saudi Arabia

[2] Global Univ Islamic Finance INCEIF, Kuala Lumpur, Malaysia

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2014年 / 48卷

关键词：

Causality; Wavelet method; Oil prices; Oil futures; COINTEGRATION; MARKET; STOCK; SPECULATION; DISCOVERY; ARBITRAGE; MOVEMENTS; DEMAND; RATIO; RISK;

D O I：

10.1016/j.jimonfin.2014.07.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent financial crisis. Our results tend to shed further light on the ongoing controversy over the relative price discovery role played by spot market as opposed to futures market in oil price fluctuations, especially during periods of high uncertainty. (C) 2014 Elsevier Ltd. All rights reserved.

引用

页码：175 / 201

页数：27

共 50 条

[1] Non-linear Granger causality in the currency futures returns
Asimakopoulos, I
Ayling, D
Mahmood, WM
[J]. ECONOMICS LETTERS, 2000, 68 (01) : 25 - 30
[2] The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality
Bekiros, Stelios D.
Diks, Cees G. H.
[J]. ENERGY ECONOMICS, 2008, 30 (05) : 2673 - 2685
[3] Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test
Torun, Erdost
Chang, Tzu-Pu
Chou, Ray Y.
[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 52
[4] Linear and non-linear causality between price indices and commodity prices
Fernandez, Viviana
[J]. RESOURCES POLICY, 2014, 41 : 40 - 51
[5] The chaotic relationship between oil return, gold, silver and copper returns in TURKEY: Non-Linear ARDL and Augmented Non-linear Granger Causality
Bildirici, Melike
Turkmen, Ceren
[J]. Proceedings of the 4th International Conference on Leadership, Technology, Innovation and Business Management (ICLTIBM-2014), 2015, 210 : 397 - 407
[6] Dynamic relationships between crude oil prices and socially responsible investing in Brazil: evidence for linear and non-linear causality
de Oliveira, E. M.
Cunha, F. A. F. S.
Cyrino Oliveira, F. L.
Samanez, C. P.
[J]. APPLIED ECONOMICS, 2017, 49 (22) : 2125 - 2140
[7] TESTING FOR LINEAR AND NON-LINEAR GRANGER NON-CAUSALITY HYPOTHESIS BETWEEN STOCK AND BOND: THE CASES OF MALAYSIA AND SINGAPORE
Ong, Sheue Li
Ho, Chong Mun
[J]. SINGAPORE ECONOMIC REVIEW, 2015, 59 (05):
[8] DEFENSE SPENDING AND ECONOMIC GROWTH IN TURKEY: A LINEAR AND NON-LINEAR GRANGER CAUSALITY APPROACH
Karagianni, Stella
Pempetzoglu, Maria
[J]. DEFENCE AND PEACE ECONOMICS, 2009, 20 (02) : 139 - 148
[9] FDI interconnectedness and sustainable economic development: A linear and non-linear Granger causality assessment
Quaye, Enoch
Acquaye, Adolf
Yamoah, Fred
Ndiaye, Malick
[J]. JOURNAL OF BUSINESS RESEARCH, 2023, 164
[10] Is there a causal relationship between unemployment and informal economy in Tunisia: evidence from linear and non-linear Granger causality
Saafi, Sami
Mohamed, Meriem Haj
Farhat, Abdeljelil
[J]. ECONOMICS BULLETIN, 2015, 35 (02): : 1191 - +

← 1 2 3 4 5 →