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

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

No CIRJE-F-705, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

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.

Pages: 32pages
Date: 2010-01
New Economics Papers: this item is included in nep-ene and nep-sea
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Citations: View citations in EconPapers (75)

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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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