Click for new scientific resources and news about Corona[COVID-19]

Paper Information

Journal:   JOURNAL OF ECONOMIC MODELING RESEARCH   FALL 2011 , Volume - , Number 5; Page(s) 75 To 102.
 
Paper: 

EXAMINATION OF CRUDE OIL PRICES RELATIONSHIPS IN SPOT AND FUTURES MARKETS BASED ON THE BASIS RISK AND CRUDE OIL INVENTORY: USING GARCH MODEL

 
 
Author(s):  FARIDZAD ALI, MOHAJERI PARISA
 
* 
 
Abstract: 

The crude oil is both a commodity and a financial asset. As there are many factors affecting the crude oil spot and futures markets, the analysis of the relationship between major factors of these markets is complicated. The main objective of this paper is to investigate the relationship between the price of crude oil in spot and futures market and identify the effect of the crude oil inventory and the interest-adjusted basis risk on these price changes. The monthly data of WTI spot and futures prices, WTI crude oil inventory and interest-adjusted basis risk are from EIA (Energy Information Administration) database. The data period is from January 1986 to December 2010. Due to the unpredictable volatilities and uncertainties in variables, the GARCH error process models are used. Empirical results show that there is a positive, strong and significant relationship between the spot crude oil price changes and futures prices. Additionally, the basis risk changes can affect the spot and futures crude oil prices up to three lags. Also, crude oil inventory changes have a negative effect on the spot crude oil price changes with one lag.

 
Keyword(s): SPOT PRICE, FUTURES PRICE, INVENTORY, ADJUSTED BASIS RISK
 
References: 
  • ندارد
 
  Persian Abstract Yearly Visit 71
 
Latest on Blog
Enter SID Blog