Economics at your fingertips  

Price Dynamics in Global Crude Oil Markets

Wai‐Man Liu, Emma Schultz and John Swieringa ()

Journal of Futures Markets, 2015, vol. 35, issue 2, 148-162

Abstract: We use high‐frequency data to better characterize price dynamics in global crude oil markets. Initially, we provide much‐needed quantitative evidence on interactions between physical and financial layers of the Brent market, highlighting the ICE Brent futures contract as the overwhelming source of price discovery in this market. Thereafter, we quantify the impact of oil supply constraints at Cushing, showing they are a significant determinant of ever decreasing levels of cointegration between Brent and WTI markets. Finally, against this backdrop we show that, on days where ICE Brent and CME WTI futures remain cointegrated, the latter still dominate price discovery. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:148–162, 2015

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (16) Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-08-24
Handle: RePEc:wly:jfutmk:v:35:y:2015:i:2:p:148-162