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New tests of the theory of storage and the theory of normal backwardation: Time and frequency dimensions

Author

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  • Cao, Wenbin
  • Duan, Xiaoman
  • Linn, Scott
  • Six, Pierre

Abstract

We expand the frequency domain asset pricing literature, traditionally focused on equities and bonds, to include the oil market. Our analysis extends to both the frequency and calendar time domains, offering new tests for the theories of storage and normal backwardation (hedging pressure). Our study highlights that the main relationships of both theories operate continuously in time at intermediate frequencies. Our analysis in the time–frequency domain enables us to refine extant conclusions regarding financialization in the oil market.

Suggested Citation

  • Cao, Wenbin & Duan, Xiaoman & Linn, Scott & Six, Pierre, 2026. "New tests of the theory of storage and the theory of normal backwardation: Time and frequency dimensions," Journal of Banking & Finance, Elsevier, vol. 183(C).
    • Handle: RePEc:eee:jbfina:v:183:y:2026:i:c:s0378426625002316
    DOI: 10.1016/j.jbankfin.2025.107611
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    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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