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Linkage among the U.S. Energy Futures Markets

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  • Aruga, Kentaka
  • Managi, Shunsuke

Abstract

This study tests the price linkage among the U.S. major energy sources, considering structural breaks in time series. We use the Johansen cointegration method and find that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil, gasoline, heating oil, coal, natural gas, uranium, and ethanol futures prices. Our tests reveal that the uranium and ethanol futures prices have very weak linkage with other U.S. major energy source prices. This indicates that the U.S. energy market is still at a stage where none of the probable alternative energy source markets are playing the role as a substitute or a complement market for the fossil fuel energy markets and that the U.S. major energy source markets are not integrated as one primary energy market.

Suggested Citation

  • Aruga, Kentaka & Managi, Shunsuke, 2011. "Linkage among the U.S. Energy Futures Markets," MPRA Paper 36086, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:36086
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    Cited by:

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    2. Su, Chi-Wei & Yuan, Xi & Umar, Muhammad & Chang, Tsangyao, 2022. "Dynamic price linkage of energies in transformation: Evidence from quantile connectedness," Resources Policy, Elsevier, vol. 78(C).
    3. Jerzy Rembeza, 2020. "Coal Prices in Poland: Is the Domestic Market Separated from the International Market?," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 405-410.

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    More about this item

    Keywords

    futures market; structural breaks; Johansen cointegration method;
    All these keywords.

    JEL classification:

    • 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; State Space Models
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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