作者
Mohammed Alzahrani, Mansur Masih, Omar Al-Titi
发表日期
2014/11/1
期刊
Journal of International Money and Finance
卷号
48
页码范围
175-201
出版商
Pergamon
简介
This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent financial crisis. Our results tend to shed further light on the ongoing controversy over the relative price discovery role played by spot market as opposed to futures market in oil price fluctuations, especially during periods of high uncertainty.
学术搜索中的文章
M Alzahrani, M Masih, O Al-Titi - Journal of International Money and Finance, 2014