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

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  1. Cagli, Efe Caglar & Taskin, Dilvin & Evrim Mandaci, Pınar, 2019. "The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models," Energy Economics, Elsevier, vol. 84(C).
  2. Ming‐Yuan Leon Li, 2009. "The dynamics of the relationship between spot and futures markets under high and low variance regimes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(6), pages 696-718, November.
  3. Xu, Ke & Stewart, Kenneth G. & Cao, Zeyang, 2022. "Fractional cointegration and price discovery in Canadian commodities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  4. Shrestha, Keshab & Subramaniam, Ravichandran & Thiyagarajan, Thangarajah, 2020. "Price Discovery in Agricultural Markets," American Business Review, Pompea College of Business, University of New Haven, vol. 23(1), pages 53-69, May.
  5. Yang, Chen & Lv, Fei & Fang, Libing & Shang, Xingxing, 2020. "The pricing efficiency of crude oil futures in the Shanghai International Exchange," Finance Research Letters, Elsevier, vol. 36(C).
  6. Magkonis, Georgios & Tsouknidis, Dimitris A., 2017. "Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 104-118.
  7. Sarveshwar Kumar Inani, 2018. "Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 129-154, March.
  8. Pradipta Kumar Sahoo, 2021. "COVID-19 pandemic and cryptocurrency markets: an empirical analysis from a linear and nonlinear causal relationship," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(2), pages 454-468, March.
  9. Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M., 2015. "Regime switching model of US crude oil and stock market prices: 1859 to 2013," Energy Economics, Elsevier, vol. 49(C), pages 317-327.
  10. Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat, 2015. "The time-varying causality between spot and futures crude oil prices: A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 51-71.
  11. Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
  12. Liu, 2014. "Do futures prices exhibit maturity effect? A nonparametric revisit," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 813-825, March.
  13. Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe, and Kirsten R. Soneson, 2013. "OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  14. Go, You-How & Lau, Wee-Yeap, 2017. "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, vol. 53(C), pages 135-146.
  15. Shao, Mingao & Hua, Yongjun, 2022. "Price discovery efficiency of China's crude oil futures: Evidence from the Shanghai crude oil futures market," Energy Economics, Elsevier, vol. 112(C).
  16. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014. "Time-Varying Spot and Futures Oil Price Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 78-97, February.
  17. Chang, Chun-Ping & Lee, Chien-Chiang, 2015. "Do oil spot and futures prices move together?," Energy Economics, Elsevier, vol. 50(C), pages 379-390.
  18. Kenneth Yung & Yen-Chih Liu, 2009. "Implications of futures trading volume: Hedgers versus speculators," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 318-337, December.
  19. Liu, Zhenya & Teka, Hanen & You, Rongyu, 2023. "Conditional autoencoder pricing model for energy commodities," Resources Policy, Elsevier, vol. 86(PA).
  20. C. P. Gupta & Sanjay Sehgal & Sahaj Wadhwa, 2018. "Agricultural Commodity Trading: Is it Destabilizing Spot Markets?," Vikalpa: The Journal for Decision Makers, , vol. 43(1), pages 47-57, March.
  21. Mensi, Walid & Brahim, Mariem & Hammoudeh, Shawkat & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2024. "Time-varying causality and correlations between spot and futures prices of natural gas, crude oil, heating oil, and gasoline," Resources Policy, Elsevier, vol. 93(C).
  22. A. Tolga Ergun, 2009. "NYSE Rule 80A restrictions on index arbitrage and market linkage," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1675-1685.
  23. Nygaard, Rune & Roll, Kristin H., 2024. "Cross-hedging wild salmon prices," Journal of Commodity Markets, Elsevier, vol. 33(C).
  24. Xingrui Jiao & Yuping Song & Yang Kong & Xiaolong Tang, 2022. "Volatility forecasting for crude oil based on text information and deep learning PSO‐LSTM model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 933-944, August.
  25. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  26. Lucia BALDI & Massimo PERI & Daniela VANDONE, 2011. "Spot and future prices of agricultural commodities: fundamentals and speculation," Departmental Working Papers 2011-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  27. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
  28. Shao, Ying-Hui & Yang, Yan-Hong & Shao, Hao-Lin & Stanley, H. Eugene, 2019. "Time-varying lead–lag structure between the crude oil spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 723-733.
  29. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Hammoudeh, Shawkat & Roubaud, David, 2019. "Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests," Energy Economics, Elsevier, vol. 78(C), pages 615-628.
  30. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
  31. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2019. "Crude oil price shocks and hedging performance: A comparison of volatility models," Energy Economics, Elsevier, vol. 81(C), pages 1132-1147.
  32. Wang, Shuang & Wallace, Stein W. & Lu, Jing & Gu, Yewen, 2020. "Handling financial risks in crude oil imports: Taking into account crude oil prices as well as country and transportation risks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 133(C).
  33. Selmi, Refk & Hammoudeh, Shawkat & Kasmaoui, Kamal & Sousa, Ricardo M. & Errami, Youssef, 2022. "The dual shocks of the COVID-19 and the oil price collapse: A spark or a setback for the circular economy?," Energy Economics, Elsevier, vol. 109(C).
  34. Imad A. Moosa & Param Silvapulle & Mervyn Silvapulle, 2003. "Testing for Temporal Asymmetry in the Price‐Volume Relationship," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 373-389, October.
  35. Hammami Algia & Bouri Abdelfatteh, 2016. "The Volatility of Oil Prices: What Factors?," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), vol. 4(1), pages 98-110, March.
  36. Tanattrin Bunnag, 2015. "Hedging Petroleum Futures with Multivariate GARCH Models," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 105-120.
  37. Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
  38. Chen, Fan & Linn, Scott C., 2017. "Investment and operating choice: Oil and natural gas futures prices and drilling activity," Energy Economics, Elsevier, vol. 66(C), pages 54-68.
  39. Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.
  40. Mert Demir & Terrence F. Martell & Jun Wang, 2019. "The trilogy of China cotton markets: The lead–lag relationship among spot, forward, and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 522-534, April.
  41. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
  42. Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd, 2013. "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," Energy Economics, Elsevier, vol. 36(C), pages 491-502.
  43. Donald Lien & Keshab Shrestha & Jing Wu, 2016. "Quantile Estimation of Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 194-214, February.
  44. Chang, Kuang-Liang & Lee, Chingnun, 2020. "The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 374-388.
  45. Ji, Qiang & Fan, Ying, 2016. "Evolution of the world crude oil market integration: A graph theory analysis," Energy Economics, Elsevier, vol. 53(C), pages 90-100.
  46. Delphine H. Lautier & Franck Raynaud & Michel A. Robe, 2019. "Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices," The Energy Journal, , vol. 40(3), pages 125-154, May.
  47. Mustafa Okur & Emrah Cevik, 2013. "Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from Ise," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 26(3), pages 99-116, January.
  48. Xiaojie Xu, 2018. "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, vol. 55(4), pages 1889-1923, December.
  49. Salman Sarwat & Muhammad Kashif & Muhammad Aqil & Farhan Ahmed, 2019. "Determination of Causality in Prices of Crude Oil," International Journal of Energy Economics and Policy, Econjournals, vol. 9(4), pages 298-304.
  50. Ruchika Kaura & Namita Rajput, 2024. "Future–Spot Relationship in Commodity Market: A Comparison Across Commodity Segments in India," Global Business Review, International Management Institute, vol. 25(5), pages 1314-1335, October.
  51. Wang, Yilei & Cheng, Sheng & Cao, Yan, 2022. "How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries," Resources Policy, Elsevier, vol. 79(C).
  52. Nidhi Choudhary & Girish K. Nair & Harsh Purohit, 2015. "Volatility In Copper Prices In India," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-26, December.
  53. Asche, Frank & Misund, Bard & Oglend, Atle, 2015. "The Spot-Forward Relationship in the Atlantic Salmon Market," UiS Working Papers in Economics and Finance 2015/16, University of Stavanger.
  54. Angeliki Skoura, 2019. "Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio," Economies, MDPI, vol. 7(2), pages 1-27, April.
  55. Kao, Chung-Wei & Wan, Jer-Yuh, 2009. "Information transmission and market interactions across the Atlantic -- an empirical study on the natural gas market," Energy Economics, Elsevier, vol. 31(1), pages 152-161, January.
  56. You‐How Go & Wee‐Yeap Lau, 2023. "What do we know about informational efficiency? Three puzzles and the new direction forward," Journal of Economic Surveys, Wiley Blackwell, vol. 37(4), pages 1489-1525, September.
  57. Mehmet Balcilar & Rangan Gupta & Ýsmail H. Gençb, 2016. "The links between crude oil prices and GCC stock markets: Evidence from time-varying Granger causality tests," Working Papers 15-30, Eastern Mediterranean University, Department of Economics.
  58. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management," Resources Policy, Elsevier, vol. 73(C).
  59. LI, Jie & HUANG, Lixin & LI, Ping, 2021. "Are Chinese crude oil futures good hedging tools?," Finance Research Letters, Elsevier, vol. 38(C).
  60. Chien‐Chiang Lee & Chi‐Chuan Lee & Donald Lien, 2019. "Do country risk and financial uncertainty matter for energy commodity futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 366-383, March.
  61. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
  62. Xianfang Su & Huiming Zhu & Xinxia Yang, 2019. "Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis," Sustainability, MDPI, vol. 11(5), pages 1-17, March.
  63. Ranajit Chakraborty & Rahuldeb Das, 2015. "Do the Spot and Futures Markets for Commodities in India Move Together?," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 4(3), pages 150-159.
  64. Pradita Nareswari & Sigit S. Wibowo, 2020. "Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities," Capital Markets Review, Malaysian Finance Association, vol. 28(1), pages 65-76.
  65. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 858-879, July.
  66. Sun, Chuanwang & Zhan, Yanhong & Peng, Yiqi & Cai, Weiyi, 2022. "Crude oil price and exchange rate: Evidence from the period before and after the launch of China's crude oil futures," Energy Economics, Elsevier, vol. 105(C).
  67. Kang, Sang Hoon & Yoon, Seong-Min, 2013. "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, vol. 36(C), pages 354-362.
  68. Mallika Kumar & M. M. Sulphey, 2015. "Investment Option in Gold – A Study on Price Discovery of Gold Futures in India," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(4), pages 231-238, November.
  69. Xu Xiaojie, 2018. "Linear and Nonlinear Causality between Corn Cash and Futures Prices," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 16(2), pages 1-16, November.
  70. Chen, Pei-Fen & Lee, Chien-Chiang & Zeng, Jhih-Hong, 2014. "The relationship between spot and futures oil prices: Do structural breaks matter?," Energy Economics, Elsevier, vol. 43(C), pages 206-217.
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  72. Mongi Arfaoui & Bechir Raggad, 2023. "Do Dow Jones Islamic equity indices undergo speculative pressure? New insights from a nonlinear and asymmetric analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1582-1601, April.
  73. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
  74. Arfaoui, Mongi, 2018. "On the spot-futures relationship in crude-refined petroleum prices: New evidence from an ARDL bounds testing approach," Journal of Commodity Markets, Elsevier, vol. 11(C), pages 48-58.
  75. Hema Divya Kantamaneni & Vasudeva Reddy Asi, 2023. "Market Efficiency of Commodity Derivatives with Reference to Nonagricultural Commodities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 247-258, March.
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  78. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2017. "The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective," Energy Economics, Elsevier, vol. 67(C), pages 98-110.
  79. Sebastian Nick, 2016. "The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage," The Energy Journal, , vol. 37(2), pages 1-30, April.
  80. Angelos Kanas, 2008. "Modeling regime transition in stock index futures markets and forecasting implications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 649-669.
  81. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
  82. Kesicki, Fabian, 2010. "The third oil price surge - What's different this time?," Energy Policy, Elsevier, vol. 38(3), pages 1596-1606, March.
  83. Sheng Yang & Ling-Yun He, 2016. "Transport pollution in China – Evidence from Beijing," Energy & Environment, , vol. 27(3-4), pages 377-388, May.
  84. John Ryter & Xinkai Fu & Karan Bhuwalka & Richard Roth & Elsa Olivetti, 2022. "Assessing recycling, displacement, and environmental impacts using an economics‐informed material system model," Journal of Industrial Ecology, Yale University, vol. 26(3), pages 1010-1024, June.
  85. Raushan Kumar, 2017. "Price Discovery in Some Primary Commodity Markets in India," Economics Bulletin, AccessEcon, vol. 37(3), pages 1817-1829.
  86. Sarveshwar Kumar Inani, 2017. "Price discovery in Indian stock index futures market: new evidence based on intraday data," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 14(1), pages 23-43.
  87. Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.
  88. Miao, Hong & Ramchander, Sanjay & Wang, Tianyang & Yang, Dongxiao, 2017. "Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 13-26.
  89. Massimo Peri & Lucia Baldi & Daniela Vandone, 2013. "Price discovery in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(4), pages 397-403, March.
  90. Pradhan, Rudra P. & Hall, John H. & du Toit, Elda, 2021. "The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market," Resources Policy, Elsevier, vol. 70(C).
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  92. Mário Correia Fernandes & José Carlos Dias & João Pedro Vidal Nunes, 2024. "Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 343-383, March.
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