An Auxiliary Index for Reducing Brent Crude Investment Risk—Evaluating the Price Relationships between Brent Crude and Commodities

Yu-Wei Chen, Chui-Yu Chiu and Mu-Chun Hsiao
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Yu-Wei Chen: Department of Information and Finance Management, National Taipei University of Technology, Taipei 10608, Taiwan
Chui-Yu Chiu: Department of Industrial Engineering and Management, National Taipei University of Technology, Taipei 10608, Taiwan
Mu-Chun Hsiao: Graduate Institute of Information and Finance Management, National Taipei University of Technology, Taipei 10608, Taiwan

Sustainability, 2021, vol. 13, issue 9, 1-45

Abstract: Examining the price relationships of Brent Crude with 78 global commodities, our study shows that the spot price of a certain commodity, New York Harbor No. 2 Heating Oil Spot Price FOB, can serve as an auxiliary forecasting index of the rise and fall of the monthly Brent Crude oil price. With an innovative view for evaluating the price relationship and prediction based on simple, practical measurement, our findings provide a helpful auxiliary index tool for investors and analysts by offering a high success rate (82.98%) and predicting the rise and fall of the monthly Brent Crude oil price three weeks in advance.

Keywords: commodity price; forecasting; Brent Crude; West Texas Intermediate (WTI); two paths index (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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