Template-Type: ReDIF-Paper 1.0
Author-Name: Lean, H.H.
Author-Name-Last: Lean
Author-Name-First: Hooi Hoi
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Author-Name: Wong, W.-K.
Author-Name-Last: Wong
Author-Name-First: Wing-Keung
Author-Person: pwo79
Title: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
Abstract: This paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between these two markets, and that both market efficiency and market rationality are not rejected in the oil spot and futures markets.
Creation-Date: 2010-02-08
File-URL: https://repub.eur.nl/pub/18038/EI2010-11.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2010-11
Classification-JEL: C14, G12, G15
Keywords: futures market, risk averter, risk seeker, spot market, stochastic dominance
Handle: RePEc:ems:eureir:18038