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Risk Premiums and Efficiency in the Market for Crude Oil Futures

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  • Richard Deaves
  • Itzhak Krinsky

Abstract

The New York Mercantile Exchange's Crude Oil futures contract is investigated for the existence and nature of risk premiums and informational efficiency. During 1983-90, there is some evidence that short-term premiums were positive and covaried with recent volatility. As for efficiency, we find nothing inconsistent with weak-form efficiency, but some apparent violations cf semi-strong efficiency. We argue that, for a number of reasons, such rejections should be interpreted with caution.

Suggested Citation

  • Richard Deaves & Itzhak Krinsky, 1992. "Risk Premiums and Efficiency in the Market for Crude Oil Futures," The Energy Journal, , vol. 13(2), pages 93-117, April.
    • Handle: RePEc:sae:enejou:v:13:y:1992:i:2:p:93-117
    DOI: 10.5547/ISSN0195-6574-EJ-Vol13-No2-5
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    References listed on IDEAS

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    1. Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-153, March.
    2. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399, October.
    3. Eugene F. Fama & Kenneth R. French, 2015. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 4, pages 79-102, World Scientific Publishing Co. Pte. Ltd..
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