2010-02-08
Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
Publication
Publication
Report / Econometric Institute, Erasmus University Rotterdam p. 1- 30
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.
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| , , , , | |
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| Erasmus School of Economics | |
| hdl.handle.net/1765/18038 | |
| Econometric Institute Research Papers | |
| Report / Econometric Institute, Erasmus University Rotterdam | |
| Organisation | Erasmus School of Economics |
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Lean, H. H., McAleer, M., & Wong, W.-K. (2010). Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach (No. EI 2010-11). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–30). Retrieved from http://hdl.handle.net/1765/18038 |
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