 Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regressionChien-Chiang Lee () and Jhih-Hong Zeng Energy Economics, 2011, vol. 33, issue 5, 924-935 Abstract: Since most real decisions depend upon current market states or whether it is advantageous to the participants themselves, this paper revisits the relationship between spot and futures oil prices of West Texas Intermediate covering 1986 to 2009 with an innovative approach named quantile cointegration. Different to previous perspectives, we target the issues of cointegrating relationships, causalities, and market efficiency based on different market states under different maturities of oil futures. In our empirical analysis, except for market efficiency, long-run cointegrating relationships and causalities between spot and futures oil prices have significant differentials among futures maturities and the performances of spot oil markets. Furthermore, the response of spot prices to shocks in 1-month futures oil prices is much steeper in high spot prices than in low spot prices. This phenomenon is consistent with the prospect theory (Kahneman and Tversky, 1979), in that the value function is generally steeper for losses than for gains. Keywords: Crude; oil; market; Futures; prices; Quantile; cointegration; Time-varying; Prospect; theory (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:eneeco:v:33:y:2011:i:5:p:924-935 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.