本研究主要在於探討市場狀態(價格及報酬)對於原油現貨及原油期貨間之關係的影響，並針對長期整合、因果關係及市場效率性等三種重要議題來論述。
基於過去研究所呈現之油價現貨與期貨間的雙向因果，本研究採用分量迴歸來檢驗其所可能存在於長期整合與其因果的反饋作用。特別地，藉由本方法可探索其可能存在於現貨與期貨市場間的不對稱效果。
研究發現：同時期之現貨與期貨價格間之長期整合關係會因現貨市場狀態而有所不同。同樣地，是否期貨油價會領先現貨價格之情況也與期貨狀態有所關聯。另外，本研究檢驗油價市場的效率性並發現到其與期貨契約的長短有所關聯。這些發現引發了一些相關的建議和策略。

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.

Table of Contents

Abstract............................................................................................................................ iv
Table of Contents.............................................................................................................. v
List of Figures………………………………………………………….....…………... vii
List of Tables................................................................................................................. viii

Chapter I. Introduction………………………………………………………...……….. 1
1.1 Introduction…………………………………………………………...…………. 1
1.2 Quantile Cointegration……………………………………………...…………… 2
1.3 The Causality in Quantiles……………………………………...…….………….. 5
1.4 Efficiency in Oil Markets…………………………………………...…………… 5
1.5 Main Works and Contributions…………………………………..…….………… 6
Chapter II. Literature Review…………………………………………..…….………… 9
Chapter III. Methodologies & Models…………………………………….………….. 14
3.1 Unit Root Tests and Cointegration Tests………………………...…...………… 14
3.2 Quantile cointegration……………………………………………..…………. 15
3.3 Linear non-Granger Causality Test………………………………......…………. 18
3.4 Non-parametric Non-linear Granger-causality Test……………….....………… 19
3.5 Non-causality Test in quantiles……………………………….….…...….……... 21
3.6 Tests for Market Efficiency………………………………………….…………. 23
Chapter IV. Data & Data Descriptions………………………………...…..………….. 25
Chapter V. Empirical Analyses………………………………...……………..……….. 27
5.1 Analyses of Long-run Cointegration…………………..……..………………… 27
5.2 Analyses for Adjustment to Equilibrium……………………..…..…………….. 32
5.3 Analyses of the Convergence……………………………..…...………………... 34
5.4 Robustness………………………………………………….....………………... 38
5.5 Analyses of Lead-lag Relationships………………………………........…....…. 41
5.6 Analyses of Efficiency for Oil Markets……………………..…..……………… 43
5.7 Suggestions…………………………………………..………..………………... 47
5.8 Strategies............................................................................................................... 48
Chapter VI. Conclusions………………………………………....………….………… 61
Reference…………………………………………………………...…….…………... 64

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