Linkages among the US energy futures markets
AbstractThis study investigates the price linkage among the US major energy sources, considering structural breaks in time series, to provide information for diversifying the US energy sources. We find that only a weak linkage sustains among crude oil, gasoline, heating oil, coal, natural gas, uranium and ethanol futures prices. This implies that the US major energy source markets are not integrated as one primary energy market. Our tests also reveal that uranium and ethanol futures prices have very weak linkages with other major energy source prices. This indicates that the US energy market is still at a stage where none of the probable alternative energy source markets are playing the role as substitute or complement markets for the fossil fuel energy markets.
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Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Global Energy Issues.
Volume (Year): 36 (2013)
Issue (Month): 1 ()
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Web page: http://www.inderscience.com/browse/index.php?journalID==13
futures markets; cointegration test; structural break; price linkage; energy sources; energy futures; USA; United States; integration; crude oil; petrol; gasoline; heating oil; coal; natural gas; uranium; ethanol; futures prices; alternative energy; fossil fuels.;
Other versions of this item:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
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