Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test
This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and non-...
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| Veröffentlicht in: | Journal of international money and finance 2014-11, Vol.48, p.175-201 |
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| container_title | Journal of international money and finance |
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| creator | Alzahrani, Mohammed Masih, Mansur Al-Titi, Omar |
| description | This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent financial crisis. Our results tend to shed further light on the ongoing controversy over the relative price discovery role played by spot market as opposed to futures market in oil price fluctuations, especially during periods of high uncertainty.
•Test linear & nonlinear causality between spot and futures oil prices.•Use wavelet transformed spot and futures oil prices.•Show bidirectional causality at different time scales.•Show bidirectional causality during the recent financial crisis. |
| doi_str_mv | 10.1016/j.jimonfin.2014.07.001 |
| format | Article |
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| identifier | ISSN: 0261-5606 |
| ispartof | Journal of international money and finance, 2014-11, Vol.48, p.175-201 |
| issn | 0261-5606 1873-0639 |
| language | eng |
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| source | Elsevier ScienceDirect Journals Complete |
| subjects | Causality Crude oil prices Energy market Energy resources Financial crisis Futures Futures market Linear models Market prices Non-linear models Oil futures Oil prices Studies Uncertainty Wavelet method Wavelet transforms |
| title | Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test |
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