 Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidenceYue-Jun Zhang () and Zi-Yi Wang Applied Energy, 2013, vol. 104, issue C, 220-228 Abstract: This paper empirically investigates the functions of price discovery and risk transfer in crude oil and gasoline futures markets using some econometric models. And the results indicate that, first, 95.71% and 59.41% of the price discovery function is performed by futures in crude oil and gasoline markets respectively during the sample period, implying the greater contribution of the futures markets compared with that of the spot markets. Meanwhile, the gasoline futures price makes 85.71% contribution to price discovery in its interaction with crude oil futures price. Second, crude oil futures price performs the risk transfer function much better than gasoline futures price in interactions with their respective spot prices. And the risk transfer function between crude oil and gasoline futures markets is not well performed. Finally, the recent financial crisis has not significantly influenced the price discovery and risk transfer functions between crude oil and gasoline futures markets. Keywords: Crude oil market; Gasoline market; Price discovery; Risk transfer (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:104:y:2013:i:c:p:220-228 Ordering information: This journal article can be ordered from DOI: 10.1016/j.apenergy.2012.10.066 Access Statistics for this article Applied Energy is currently edited by J. Yan More articles in Applied Energy from Elsevier |
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