Title page for etd-0717111-230645


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URN etd-0717111-230645
Author Jhih-Hong Zeng
Author's Email Address No Public.
Statistics This thesis had been viewed 4697 times. Download 586 times.
Department Finance
Year 2010
Semester 2
Degree Ph.D.
Type of Document
Language English
Title The Effect of Market States on Spot-Futures Price Relations
Date of Defense 2011-07-05
Page Count 78
Keyword
  • asymmetry
  • spot-futures prices
  • market efficiency
  • causality
  • quantile cointegration
  • Abstract This study mainly explores the effect of market states (price and returns) on the relationship between spot and futures oil prices and targets three important issues: long-run cointegration, causalities, and market efficiency. Based on previous studies exhibiting bi-directional causality between spot and futures oil prices, this study employs quantile regressions to examine the possible feedback effect in their long-run cointegration and their causalities. In particular, it allows for exploring the possible asymmetric responses between spot and futures markets.
    The empirical results herein find that the long-run cointegrated relationship between contemporaneous spot and futures prices is impacted by the states of the spot markets. Similarly, whether futures oil prices lead spot oil prices is relevant with the states of the futures markets. This study also examines the efficiency of crude oil markets and shows that the efficiency is related to the length of futures contracts. These findings offer some implicative suggestions and strategies.
    Advisory Committee
  • Tai Ma - chair
  • Chia-Lin Chang - co-chair
  • Chun-Ping Chang - co-chair
  • Ming-Chi Chen - co-chair
  • Chien-Chiang Lee - advisor
  • Files
  • etd-0717111-230645.pdf
  • indicate in-campus access immediately and off_campus access in a year
    Date of Submission 2011-07-17

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