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Persistence in crude oil spot and futures prices

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  • Ozdemir, Zeynel Abidin
  • Gokmenoglu, Korhan
  • Ekinci, Cagdas

Abstract

This study investigates the degree of persistence in monthly Brent crude oil spot and futures prices (at one, two and three months to maturity). The main finding from the full sample shows that Brent crude oil spot, one, two and three months to maturity futures prices are characterized by a high degree of persistence without structural breaks. However, these prices are not highly persistent when structural breaks are taken into consideration. The analysis is repeated for four sub-periods delineated by the endogenously determined break points. The results obtained from the sub-period analysis indicate that oil price series are typically very persistent which is consistent with the efficient market hypothesis.

Suggested Citation

  • Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
  • Handle: RePEc:eee:energy:v:59:y:2013:i:c:p:29-37
    DOI: 10.1016/j.energy.2013.06.008
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    Cited by:

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    5. Mishra, Vinod & Smyth, Russell, 2016. "Are natural gas spot and futures prices predictable?," Economic Modelling, Elsevier, vol. 54(C), pages 178-186.
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    8. Vinod Mishra & Russell Smyth, 2014. "Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data," Monash Economics Working Papers 20-14, Monash University, Department of Economics.
    9. Yaya, OlaOluwa Simon & Gil-Alana, Luis Alberiko & Carcel, Hector, 2015. "Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time," Energy Economics, Elsevier, vol. 52(PA), pages 240-245.
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    More about this item

    Keywords

    Unit root; Oil prices; Structural breaks; Persistency; Grid-bootstrap; Half-life; C22; Q43;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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