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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2019
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Acceso en línea: | https://repository.urosario.edu.co/handle/10336/23935 https://doi.org/10.1016/j.eneco.2017.08.034 |
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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 |
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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 |
_version_ |
1740172776304541696 |
score |
12,131701 |