Risk Premiums and Efficiency in the Market for Crude Oil Futures*

Richard Deaves and Itzhak Krinsky

The Energy Journal, 1992, vol. 13, issue 2, 93-117

Abstract: The New York Mercantile Exchange's Crude Oil futures contract is investigated for the existence and nature of risk premiums and informational efficiency. During 1983-90, there is some evidence that short-term premiums were positive and covaried with recent volatility. As for efficiency, we find nothing inconsistent with weak-form efficiency, but some apparent violations cf semi-strong efficiency. We argue that, for a number of reasons, such rejections should be interpreted with caution.

Keywords: Crude oil futures; Risk premiums; Informational efficiency; NYMEX; ARCH-M model (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:13:y:1992:i:2:p:93-117

DOI: 10.5547/ISSN0195-6574-EJ-Vol13-No2-5

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