Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.

On the Information Content of Oil Future Prices

Abstract: This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation power is not high (around 20%). Furthermore, using cointegration techniques the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected. When the sample is divided into sub-periods, the absence of bias in futures prices is rejected.

Are crude oil markets globalized or regionalized? Evidence from WTI and Brent

Abstract: This study applies a novel quantile unit root with structural breaks approach to explore whether the international crude oil markets are better characterized as ‘globalized’ or ‘regionalized’. By using the spreads between WTI and Brent crude oil prices as a benchmark, we find that the spreads contain a unit root in the lower quantiles but display mean reversion behaviour in the upper quantiles. However, instead of focusing on some selected (local) quantiles, the quantile Kolmogorov–Smirnov tests over a range of quantiles suggest that the price differentials are universally mean-reverting and, thus, provide strong support to the ‘globalization’ view.

Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities

Abstract: In this paper we investigate the extent to which the price of Nordic electricity derivatives correlates with European Energy Exchange (EEX) and Intercontinental Exchange (ICE) electricity contracts. We also include their price correlation with ICE gas, Brent crude oil, coal and carbon emission contracts. Using multivariate generalized autoregressive conditional heteroskedasticity models, we find significant time-varying relationships between all of the energy commodities included in the analysis, with the exception of oil. This suggests that pricing models based on constant correlation may be misleading. We also find that Nordic energy futures exhibit the strongest relationship with German electricity futures contracts traded in the EEX, and there appears to be a stronger relationship between longer maturity contracts in all markets.

Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high‐frequency data

Abstract: In order to test whether Chinese crude oil futures (INE) has already played the role of futures market and whether it has had a significant impact on international benchmark market, we construct the permanent temporary model and Information Share model based on 15 min of high‐frequency trading data from March 26, 2018 to October 30, 2018 to inspect the proportions of new information in INE and Brent markets, and use the Garbade‐Silber model to measure the risk transfer effect. Furthermore, the generalised spillover index is proposed to examine the effects of return and volatility spillovers among INE, WTI and Brent futures markets. The results reveal that: firstly, during the sample period, INE is not yet a promoter of international benchmark crude oil prices, but more obvious followers. Secondly, although INE has begun to display the price discovery function, it is weaker than that of Brent, and the risk transfer function between them does not appear strong. Finally, INE market mainly acts as a net transmitter of return spillover before August 2018, but it has almost always been the net transmitter of volatility spillover during the full sample period. These findings are of interest to policy makers as well as investors for risk hedging and asset allocation of crude oil portfolios.