The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review

Miroslava Zavadska, Lucía Morales and Joseph Coughlan
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Miroslava Zavadska: Economics Department, Moravian Business College, 779 00 Olomouc, Czech Republic
Lucía Morales: Finance, College of Business, Dublin Institute of Technology, D02 HF72 Dublin, Ireland
Joseph Coughlan: School of Business, Maynooth University, 9CH3+W7 Kildare, Ireland

IJFS, 2018, vol. 6, issue 4, 1-22

Abstract: Crude oil is the dominant energy resource worldwide. The focus of this paper is on its historical behaviour and subsequent implications for the global economy with an emphasis on the lead–lag relationship between spot and future prices. The paper examines the behaviour of oil spot and future prices and their determinants during periods of market uncertainty, particularly in the context of economic and financial crises. The analysis highlights a key controversy within the extant literature, as to whether spot or futures prices are the main crude oil price indicator. The literature review indicates that the lead–lag relationship is a dynamic one, especially during periods of sustained uncertainty, which leads to significant disagreements and incongruities among researchers regarding the price that plays a dominant role.

Keywords: energy; crude oil; lead lag relationship; crises; literature review (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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