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Linear and non-linear Granger causality between oil spot and futures prices: a wavelet based test

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dc.contributor.authorMohammed Alzahrani
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorOmar Al-Titi
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:05:41Z
dc.date.available2016-06-06
dc.date.available2016-07-25T20:05:41Z
dc.date.disclosure2016-06-10
dc.date.issued2014
dc.description.abstractThis 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.
dc.identifier.citationAlzahrani, M., Mohammed Masih, A. M., & Al-Titi, O. (2014). Linear and non-linear Granger causality between oil spot and futures prices: a wavelet based test. Journal of International Money and Finance, 48, pp. 175–201.
dc.identifier.doihttps://doi.org/10.1016/j.jimonfin.2014.07.001
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1368
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.rights2014. Elsevier
dc.sourceCRP
dc.subjectCausality
dc.subjectWavelet method
dc.subjectOil prices
dc.subjectOil futures
dc.titleLinear and non-linear Granger causality between oil spot and futures prices: a wavelet based test
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicEconomics
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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