The relationship between spot and futures prices: evidence from the crude oil market

Article Abstract:

Linear and nonlinear causality testing were conducted to examine the lead-lag relationship between the spot and futures prices of WTI crude oil from Jan 2 1985 to Jul 11, 1996. The study focused on futures contracts with one-month, three-month and six-month maturities. The findings suggest that the spot and futures markets respond to new information at the same time. This is indicated by the finding of linear causality testing that futures prices lead spot prices, while the nonlinear causality testing found a bidirectional effect.

Crude Petroleum and Natural Gas Extraction, Crude Petroleum, Research, Economics, Futures market, Futures markets, Information theory, Information theory in economics

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Peoria, Ill., Public Building Commission

Article Abstract:

Spot market prices of crude may be cut by other Arab producers following Egypts price fall to $29 per barrel. Saudi Arabia is expected to follow suit shortly. Under pressure from North Sea producers, British National Oil Corp. may also soon drop its prices.

Economic policy, Petroleum industry, Egypt, Illinois, British National Oil Corporation Ltd.

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Commodities Corner

Article Abstract:

On February 1, 1984, heating oil prices increased. Heating oil has been the surprise commodity of the season. Most London analysts are bearish on the market from here on.

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