IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Price Discontinuities in Energy Spot and Futures Prices

Listed author(s):
  • Svetlana Maslyuka
  • Kristian Rotarub
  • Alexander Dokumentovc
Registered author(s):

    How often do jumps or price discontinuities occur on energy markets? What is the dynamics of the energy market sentiment (based on media coverage of economic fundamentals and other news events) that influence market behavior? How does the market sentiment affect the commodity returns? This study answers these questions by first, investigating jumping behavior of daily energy spot and nearest month futures returns for crude oil, natural gas, gasoline, heating oil and propane and second, by proposing a novel Cumulative Sentiment Index applied to the analysis of the detected jumps in returns. Our findings confirm previous studies that jumps are the common feature for all energy commodities studied. For some commodities such as gasoline spot and futures and heating oil futures, the average number of jumps per year has increased after the start of the Global Financial Crisis.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Monash University, Department of Economics in its series Monash Economics Working Papers with number 33-13.

    in new window

    Length: 23 pages
    Date of creation: Jul 2013
    Handle: RePEc:mos:moswps:2013-33
    Contact details of provider: Postal:
    Department of Economics, Monash University, Victoria 3800, Australia

    Phone: +61-3-9905-2493
    Fax: +61-3-9905-5476
    Web page:

    More information through EDIRC

    Order Information: Web: Email:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:mos:moswps:2013-33. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simon Angus)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.