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

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