Cointegration between oil spot and future prices of the same and different grades in the presence of structural change

Journal article

Maslyuk, Svetlana and Smyth, Russell. (2009). Cointegration between oil spot and future prices of the same and different grades in the presence of structural change. Energy Policy.
AuthorsMaslyuk, Svetlana and Smyth, Russell
Abstract

The purpose of this study is to examine whether crude oil spot and futures prices of the same and different grades are cointegrated using a residual-based cointegration test that allows for one structural break in the cointegrating vector and high-frequency data. We choose the US WTI and the UK Brent as the representative crudes for this analysis since these two crudes have well-established spot and futures markets. We find that spot and future prices of the same grade as well as spot and futures prices of different grades are cointegrated. We examine potential causes of structural change as revealed by the cointegration test in terms of events that have impacted on world oil markets as well as discuss the implications of the results for hedge managers, investors and regulators.

KeywordsSpot prices; Futures price; Cointegration
Year2009
JournalEnergy Policy
PublisherElsevier
Page range1687 - 1693
Research GroupSchool of Arts
Place of publicationUnited Kingdom
Permalink -

https://acuresearchbank.acu.edu.au/item/8q586/cointegration-between-oil-spot-and-future-prices-of-the-same-and-different-grades-in-the-presence-of-structural-change

Log in to edit
  • 112
    total views
  • 0
    total downloads
  • 2
    views this month
  • 0
    downloads this month
These values are for the period from 19th October 2020, when this repository was created.

Export as

Related outputs

Stochastic convergence in per capita energy consumption and its catch-up rate : Evidence from 26 African countries
Pan, Lei and Maslyuk-Escobedo, Svetlana. (2019). Stochastic convergence in per capita energy consumption and its catch-up rate : Evidence from 26 African countries. Applied Economics. 51(24), pp. 2566-2590. https://doi.org/10.1080/00036846.2018.1549793
Students' perspectives of early assessment tasks in their first year at university
Thomas, Theda, Jacobs, Diane, Hurley, Laurine, Martin, Jenny, Maslyuk, Svetlana, Lyall, Mark and Ryan, Matthew. (2019). Students' perspectives of early assessment tasks in their first year at university. Assessment and Evaluation in Higher Education. 44(3), pp. 398-414. https://doi.org/10.1080/02602938.2018.1513992
Stock market and tax revenue as determinants of economic growth : Panel data evidence from developing Asia
Colombage, Sisira, Maslyuk, Svetlana and Taha, Roshaiza. (2015). Stock market and tax revenue as determinants of economic growth : Panel data evidence from developing Asia. Journal of Developing Areas. 49(4), pp. 89 - 107.
Renewable electricity generation, CO2 emissions and economic growth: Evidence from middle-income countries in Asia
Maslyuk, Svetlana and Dharmaratna, Dinusha. (2013). Renewable electricity generation, CO2 emissions and economic growth: Evidence from middle-income countries in Asia. Estudios de Economia Aplicada. 31(1), pp. 217 - 244.
Does financial system activity affect tax revenue in Malaysia? Bounds testing and causality approach
Taha, Roshaiza, Colombage, Sisira, Maslyuk, Svetlana and Nanthakumar, Loganathan. (2013). Does financial system activity affect tax revenue in Malaysia? Bounds testing and causality approach. Journal of Asian Economics. 24, pp. 147 - 157. https://doi.org/10.1016/j.asieco.2012.11.001
Impact of shocks on Australian coal mining
Maslyuk, Svetlana and Dharmaratna, Dinusha. (2013). Impact of shocks on Australian coal mining. In In W. L. Filho and V. Voudouris (Ed.). Global energy policy and security pp. 231 - 255 Springer.
Carbon tax: Economic impact on the Latrobe Valley
Barrett, Mereana, Maslyuk, Svetlana and Pambudi, Daniel. (2012). Carbon tax: Economic impact on the Latrobe Valley. In In N Finch (Ed.). pp. 122 - 140 Palgrave Macmillan.
The financial system and revenue collection in Malaysia: An empirical analysis
Taha, Roshaiza, Colombage, Sisira and Maslyuk, Svetlana. (2010). The financial system and revenue collection in Malaysia: An empirical analysis. The Empirical Economics Letters. 9(11), pp. 1027 - 1032.
Stock market, tax revenue and economic growth :A case-study of Malaysia
Taha, Roshaiza, Colombage, Sisira and Maslyuk, Svetlana. (2010). Stock market, tax revenue and economic growth :A case-study of Malaysia. Australia: IEEE Xplore. pp. 1084 - 1090
Non-linear unit root properties of crude oil production
Maslyuk, Svetlana and Smyth, Russell. (2009). Non-linear unit root properties of crude oil production. Energy Economics.
Unit root properties of crude oil spot and futures prices
Maslyuk, Svetlana and Smyth, Russell. (2008). Unit root properties of crude oil spot and futures prices. Energy Policy.