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Do the impacts of the futures-spot spread and skewness on the interdependence between spot and futures markets differ across regimes and energy commodities markets?

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  • Kuang-Liang Chang

Abstract

This paper investigates whether the impacts of the futures-spot spread and skewness on the interdependence between spot and futures markets differ across regimes (backwardation and contango) and energy commodities (crude oil, gasoline, heating oil, and natural gas) by utilizing a time-varying and asymmetric mixture copula model with an extended generalized autoregressive score (GAS) evolution mechanism to update the mixture parameter. The empirical results demonstrate that the direction and magnitude of the information on the spread hinges on regimes and energy commodities. Both the spread and its skewness can asymmetrically influence the interdependence between crude oil spot and futures market, and their influences are stronger in the contango market than in the backwardation market. Compared to the crude oil market, only the impact of the futures-spot spread is evident for the remaining markets, and the strength of influence is stronger in the backwardation market than in the contango market.

Suggested Citation

  • Kuang-Liang Chang, 2025. "Do the impacts of the futures-spot spread and skewness on the interdependence between spot and futures markets differ across regimes and energy commodities markets?," Applied Economics, Taylor & Francis Journals, vol. 57(23), pages 2979-2997, May.
    • Handle: RePEc:taf:applec:v:57:y:2025:i:23:p:2979-2997
    DOI: 10.1080/00036846.2024.2331970
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