Re-examining the movements of crude oil spot and futures prices over time

We carry out a (partial) replication exercise of Chang and Lee (2015) unit root and cointegration analyses of crude oil spot and futures prices. In doing so, we offer an updated and expanded analysis based on a much wider set of oil futures series than that considered by Chang and Lee, and we consid...

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Autores Principales: Holmes M.J., Otero, Jesus
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Elsevier B.V. 2019
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23935
https://doi.org/10.1016/j.eneco.2017.08.034
id ir-10336-23935
recordtype dspace
spelling ir-10336-239352022-05-02T12:37:16Z Re-examining the movements of crude oil spot and futures prices over time Holmes M.J. Otero, Jesus Costs Crude oil Financial markets Causality Cointegration Cointegration analysis Futures prices Qualitative differences Spot and futures prices Spot price Temporal aggregation Contracts Cointegration analysis Crude oil Energy market Future prospect Price dynamics Qualitative analysis Causality Cointegration Crude oil Futures prices Speed of adjustment Spot price We carry out a (partial) replication exercise of Chang and Lee (2015) unit root and cointegration analyses of crude oil spot and futures prices. In doing so, we offer an updated and expanded analysis based on a much wider set of oil futures series than that considered by Chang and Lee, and we consider the impact of different temporal aggregation methods. Although we are not able to exactly replicate their findings, we nonetheless reach qualitatively similar findings to theirs when using their dataset in terms of the long-run properties and interactions of the spot and futures prices data. Likewise, qualitatively comparable results are obtained when using our expanded dataset. However, a number of important qualitative differences from Chang and Lee arise in terms of the analysis of causality between spot and futures contract prices. As part of our replication exercise we also investigate some aspects that were not originally considered by Chang and Lee. In doing this, we find that both the variability of futures prices as well as the speed of adjustment of futures/spot price differentials increase as the maturity of the contracts increase. © 2017 Elsevier B.V. 2019 2020-05-26T00:06:51Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 01409883 18736181 https://repository.urosario.edu.co/handle/10336/23935 https://doi.org/10.1016/j.eneco.2017.08.034 eng info:eu-repo/semantics/openAccess application/pdf Elsevier B.V. instname:Universidad del Rosario
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Costs
Crude oil
Financial markets
Causality
Cointegration
Cointegration analysis
Futures prices
Qualitative differences
Spot and futures prices
Spot price
Temporal aggregation
Contracts
Cointegration analysis
Crude oil
Energy market
Future prospect
Price dynamics
Qualitative analysis
Causality
Cointegration
Crude oil
Futures prices
Speed of adjustment
Spot price
spellingShingle Costs
Crude oil
Financial markets
Causality
Cointegration
Cointegration analysis
Futures prices
Qualitative differences
Spot and futures prices
Spot price
Temporal aggregation
Contracts
Cointegration analysis
Crude oil
Energy market
Future prospect
Price dynamics
Qualitative analysis
Causality
Cointegration
Crude oil
Futures prices
Speed of adjustment
Spot price
Holmes M.J.
Otero, Jesus
Re-examining the movements of crude oil spot and futures prices over time
description We carry out a (partial) replication exercise of Chang and Lee (2015) unit root and cointegration analyses of crude oil spot and futures prices. In doing so, we offer an updated and expanded analysis based on a much wider set of oil futures series than that considered by Chang and Lee, and we consider the impact of different temporal aggregation methods. Although we are not able to exactly replicate their findings, we nonetheless reach qualitatively similar findings to theirs when using their dataset in terms of the long-run properties and interactions of the spot and futures prices data. Likewise, qualitatively comparable results are obtained when using our expanded dataset. However, a number of important qualitative differences from Chang and Lee arise in terms of the analysis of causality between spot and futures contract prices. As part of our replication exercise we also investigate some aspects that were not originally considered by Chang and Lee. In doing this, we find that both the variability of futures prices as well as the speed of adjustment of futures/spot price differentials increase as the maturity of the contracts increase. © 2017 Elsevier B.V.
format Artículo (Article)
author Holmes M.J.
Otero, Jesus
author_facet Holmes M.J.
Otero, Jesus
author_sort Holmes M.J.
title Re-examining the movements of crude oil spot and futures prices over time
title_short Re-examining the movements of crude oil spot and futures prices over time
title_full Re-examining the movements of crude oil spot and futures prices over time
title_fullStr Re-examining the movements of crude oil spot and futures prices over time
title_full_unstemmed Re-examining the movements of crude oil spot and futures prices over time
title_sort re-examining the movements of crude oil spot and futures prices over time
publisher Elsevier B.V.
publishDate 2019
url https://repository.urosario.edu.co/handle/10336/23935
https://doi.org/10.1016/j.eneco.2017.08.034
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score 12,131701