The relationship between spot and futures prices: Evidence from the crude oil market

Param Silvapulle and Imad A. Moosa

Journal of Futures Markets, 1999, vol. 19, issue 2, 175-193

Abstract: This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and futures markets react simultaneously to new information. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 175–193, 1999

Date: 1999
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