Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test
Mohammed Alzahrani (),
Abul Masih () and
Journal of International Money and Finance, 2014, vol. 48, issue PA, 175-201
This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent financial crisis. Our results tend to shed further light on the ongoing controversy over the relative price discovery role played by spot market as opposed to futures market in oil price fluctuations, especially during periods of high uncertainty.
Keywords: Causality; Wavelet method; Oil prices; Oil futures (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:48:y:2014:i:pa:p:175-201
Access Statistics for this article
Journal of International Money and Finance is currently edited by J. R. Lothian
More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().