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Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
A. Can Inci,H. Nejat Seyhun +1 more
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The authors investigated the integration of oil spot and futures markets using matched, intraday data to avoid nonsynchronous trading issues and found that highly integrated spot market and futures market are highly correlated.Abstract:
We investigate the integration of oil spot and futures markets using matched, intraday data to avoid nonsynchronous trading issues. Our evidence indicates highly integrated spot and futures...read more
Citations
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Multifractal cross-correlations between the world oil and other financial markets in 2012–2017
TL;DR: It is shown that in most of the cases the tails of return distributions of the considered financial instruments follow the inverse cubic power law, and it was the oil price that led the Russian ruble over the time period here considered rather than vice versa.
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On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?
Wasim Ahmad,Ravi Prakash,Gazi Salah Uddin,Rishman Jot Kaur Chahal,Lutfur Rahman,Anupam Dutta +5 more
TL;DR: In this paper, the authors investigate the volatility determinants of crude oil and foreign exchange markets and jump spillover between them and consider currencies of two major oil-importing countries.
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Oil and renewable energy stock markets: Unique role of extreme shocks
TL;DR: In this paper , the causal relations of oil and renewable energy markets from the perspectives of time and frequency domains are examined based on extreme shocks, especially during the long-term and short-term horizons.
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The impact of commodity benchmarks on derivatives markets: The case of the dated brent assessment and Brent Futures
Alex Frino,Alex Frino,Gbenga Ibikunle,Gbenga Ibikunle,Gbenga Ibikunle,Vito Mollica,Tom Steffen,Tom Steffen,Tom Steffen +8 more
TL;DR: The authors examine the response of ICE Brent Crude futures to the spot Dated Brent benchmark published by Platts and find trading in the direction of the published benchmark during the price assessment window.
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Intertemporal price discovery between stock index futures and spot markets: New evidence from high‐frequency data
TL;DR: In this paper, the authors employed Maximal Overlap Discrete Wavelet Transform to evaluate interdependence between contemporaneous futures and spot returns and observed that price discovery between futures and the spot markets at granular level is a scale-dependent phenomenon.
References
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Journal ArticleDOI
Statistical inference in vector autoregressions with possibly integrated processes
Hiro Y. Toda,Taku Yamamoto +1 more
TL;DR: In this paper, the authors show how to estimate VAR's formulated in levels and test general restrictions on the parameter matrices even if the processes may be integrated or cointegrated of an arbitrary order.
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Estimating betas from nonsynchronous data
Myron S. Scholes,Joseph Williams +1 more
TL;DR: In this article, the observed market model and associated ordinary least squares estimators are developed in detail, and computationally convenient, consistent estimators for parameters of the market model are calculated and then applied to daily returns of securities listed in the NYSE and ASE.
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A new statistic and practical guidelines for nonparametric Granger causality testing
Cees Diks,Valentyn Panchenko +1 more
TL;DR: In this paper, a nonparametric test for Granger non-causality was proposed to avoid the over-rejection observed in the frequently used test proposed by Hiemstra and Jones [1994].
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Price Movements and Price Discovery in Futures and Cash Markets
TL;DR: In this paper, the authors examine the characteristics of price movements in cash (or spot) markets and futures markets for storable commodities and find that while futures markets dominate cash markets, cash prices do not merely echo futures prices; there are reverse information flows from cash markets to futures markets as well.