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Author
Mehrara Mohsen (University of Tehran, Iran), Hamldar Monire (University of Tehran, Iran)
Title
The Relationship between Spot and Futures Prices in Brent Oil Crude Market
Source
International Letters of Social and Humanistic Sciences (ILSHS), 2014, vol. 28, s. 15-19, tab., bibliogr. 8 poz.
Keyword
Ceny, Ropa naftowa, Rynki finansowe
Prices, Oil, Financial markets
Note
summ.
Abstract
This paper investigates the relationship between spot and futures prices in Brent Crude Oil Market using daily data over the period 1990/17/8-2014/11/3. The results of unit root test indicate that both of the spot and futures prices variables are non-stationary. The results of the Johansen cointegration test suggest that there is a long-run relationship between these variables. The dynamic Granger causality captured from the vector error correction model indicates strong bidirectional effects between the spot and futures price of Brent Crude Oil. The coefficient of the ECT and lagged explanatory variables are significant in both equations which indicates that long-run as well as shortrun bidirectional causalities between log of spot and futures price. (original abstract)
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Bibliography
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  1. Garbade K.D., Silber W.L., Review of Economics and Statistics 65 (1983) 289-297.
  2. Lien D., Luo X., Journal of Futures Markets 13 (1993) 909-920.
  3. Silvapulle P., Moosa I.A., The Journal of Futures Markets 19 (1999) 175-193.
  4. Abbas Ali Rezaei, International Letters of Social and Humanistic Sciences 23 (2014) 1-20.
  5. Seyed Reza Seyed-Javadin, Reza Raei, Mohammad Javad Iravani, Mohammad Safari, International Letters of Social and Humanistic Sciences 24 (2014) 45-55.
  6. Farhad Rahbar, Mostafa Sargolzaei, International Letters of Social and Humanistic Sciences 24 (2014) 95-105.
  7. Mohsen Mehrara, Fateme Ghamati, International Letters of Social and Humanistic Sciences 25 (2014) 75-81.
  8. Mohsen Mehrara, Monire Hamldar, International Letters of Social and Humanistic Sciences 26 (2014) 82-87.
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ISSN
2300-2697
Language
eng
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