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The relationship between spot and futures prices: Evidence from the crude oil market

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  • Param Silvapulle
  • Imad A. Moosa

Abstract

This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and futures markets react simultaneously to new information. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 175–193, 1999

Suggested Citation

  • Param Silvapulle & Imad A. Moosa, 1999. "The relationship between spot and futures prices: Evidence from the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(2), pages 175-193, April.
  • Handle: RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193
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