Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach

Hooi Hooi Lean (), Michael McAleer and Wing-Keung Wong

No EI 2010-11, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: This paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between these two markets, and that both market efficiency and market rationality are not rejected in the oil spot and futures markets.

Keywords: futures market; risk averter; risk seeker; spot market; stochastic dominance (search for similar items in EconPapers)
JEL-codes: C14 G12 G15 (search for similar items in EconPapers)
Date: 2010-02-08
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Citations: View citations in EconPapers (72)

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Related works:
Working Paper: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach (2010)
Working Paper: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:18038

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