194
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Testing the efficiency of the futures market for crude oil in the presence of a structural break

&

References

  • Alquist, R. and Kilian, L. (2010) What do we learn from the price of crude oil futures?, Journal of Applied Econometrics, 25, 539–73. doi:10.1002/jae.1159
  • Andrews, D. (1993) Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821–56. doi:10.2307/2951764
  • Bai, J. and Perron, P. (1998) Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47–78. doi:10.2307/2998540
  • Barsky, R. and Kilian, L. (2004) Oil and the macroeconomy since the 1970s, Journal of Economic Perspectives, 18, 115–34. doi:10.1257/0895330042632708
  • Bhar, R. and Lee, D. (2011) Time-varying market price of risk in the crude oil futures market, Journal of Futures Markets, 31, 779–807. doi:10.1002/fut.20493
  • Chernenko, S., Schwarz, K. and Wright, J. (2004) The information content of forward and futures prices. International Finance Discussion Paper No. 808, Board of Governors of Federal Reserve System, Washington, DC.
  • Chinn, M. and Coibion, O. (2014) The predictive content of commodity futures, Journal of Futures Markets, 34, 607–36. doi:10.1002/fut.21615
  • Cootner, P. (1960) Returns to speculators: Telser versus Keynes, Journal of Political Economy, 68, 396–404. doi:10.1086/258347
  • Deaves, R. and Krinsky, I. (1992) Risk premiums and efficiency in the market for crude oil futures, Energy Journal, 13, 93–117.
  • Fama, E. (1984) Forward and spot exchange rates, Journal of Monetary Economics, 14, 319–38. doi:10.1016/0304-3932(84)90046-1
  • Fama, E. and French, K. (1987) Commodity futures prices: some evidence on forecast power, premiums and the theory of storage, The Journal of Business, 60, 55–73. doi:10.1086/296385
  • Ghoshray, A. and Johnson, B. (2010) Trends in world energy prices, Energy Economics, 32, 1147–56. doi:10.1016/j.eneco.2010.01.009
  • Hall, P., Horowitz, J. and Jing, B. (1995) On blocking rules for the bootstrap with dependent data, Biometrika, 82, 561–74. doi:10.1093/biomet/82.3.561
  • Hamilton, J. (1983) Oil and the macroeconomy since World War 2, Journal of Political Economy, 91, 228–48.
  • Hamilton, J. (2008) Oil and the macroeconomy, in The New Palgrave Dictionary of Economics, Durlauf, S. and Blume, L. (Eds), Palgrave Macmillan, Basingstoke.
  • Hamilton, J. and Wu, J. (2013). Risk premia in crude oil futures prices, NBER Working Paper 19056, National Bureau of Economic Research, Cambridge, MA.
  • Hansen, B. (1996) Inference when a nuisance parameter is not identified under the null hypothesis, Econometrica, 64, 413–30. doi:10.2307/2171789
  • Keynes, J. (1930) A Treatise on Money, Vol. 2, Macmillan, London.
  • Lee, C. and Lee, J. (2009) Energy prices, multiple structural breaks, and efficient market hypothesis, Applied Energy, 86, 466–79. doi:10.1016/j.apenergy.2008.10.006
  • Lee, J. and Strazicich, M. (2003) Minimum Lagrange multiplier unit root test with two structural breaks, Review of Economics and Statistics, 85, 1082–89. doi:10.1162/003465303772815961
  • Liu, J., Wu, S. and Zidek, V. (1997) On segmented multivariate regressions, Statistics Sinica, 7, 497–525.
  • Maslyuk, S. and Smyth, R. (2008) Unit root properties of crude oil spot and futures prices, Energy Policy, 36, 2591–600. doi:10.1016/j.enpol.2008.03.018
  • Moosa, I. and Al-Loughani, N. (1994) Unbiasedness and time-varying risk premia in the crude oil futures market, Energy Economics, 16, 99–105. doi:10.1016/0140-9883(94)90003-5
  • Peroni, E. and McNown, R. (1998) Noninformative and informative tests of efficiency in three energy futures markets, Journal of Futures Markets, 18, 939–64. doi:10.1002/(SICI)1096-9934(199812)18:8<939::AID-FUT4>3.0.CO;2-4
  • Perron, P. (1989) The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361–401. doi:10.2307/1913712
  • Sadorsky, P. (2002) Time varying risk premiums in petroleum futures prices, Energy Economics, 24, 539–56. doi:10.1016/S0140-9883(02)00062-2
  • Serletis, A. (1991) Rational expectations, risk and efficiency in energy futures markets, Energy Economics, 13, 111–15. doi:10.1016/0140-9883(91)90042-X
  • Stevens, J. (2012) A simple in-sample test of futures market efficiency based on rolling regressions, Applied Economics Letters, 19, 897–900. doi:10.1080/13504851.2011.607121
  • Switzer, N. and El-Khoury, M. (2007) Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets, Journal of Futures Markets, 27, 61–84. doi:10.1002/fut.20235
  • White, H. (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 48, 817–38. doi:10.2307/1912934
  • Zivot, E. and Andrews, D. (1992) Further evidence on the great crash, the oil price shock, and the unit root hypothesis, Journal of Business and Economic Statistics, 10, 251–70.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.