Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
AbstractThis paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between these two markets, and that both market efficiency and market rationality are not rejected in the oil spot and futures markets.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-705.
Date of creation: Jan 2010
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Other versions of this item:
- Lean, H.H. & McAleer, M.J. & Wong, W-K., 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," Econometric Institute Report EI 2010-11, Erasmus University Rotterdam, Econometric Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CARF F-Series CARF-F-201, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- NEP-ALL-2010-01-23 (All new papers)
- NEP-ENE-2010-01-23 (Energy Economics)
- NEP-SEA-2010-01-23 (South East Asia)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bekiros, Stelios D. & Diks, Cees G.H., 2008.
"The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality,"
Elsevier, vol. 30(5), pages 2673-2685, September.
- Bekiros, S. & Diks, C.G.H., 2007. "The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality," CeNDEF Working Papers 07-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2013.
"Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures,"
Econometric Institute Report
EI 2013-27, Erasmus University Rotterdam, Econometric Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Working Papers in Economics 13/30, University of Canterbury, Department of Economics and Finance.
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