Persistence in crude oil spot and futures prices


Ozdemir Z. A., Gokmenoglu K., Ekinci C.

ENERGY, vol.59, pp.29-37, 2013 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 59
  • Publication Date: 2013
  • Doi Number: 10.1016/j.energy.2013.06.008
  • Journal Name: ENERGY
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.29-37
  • Keywords: Unit root, Oil prices, Structural breaks, Persistency, Grid-bootstrap, Half-life, MULTIPLE TREND BREAKS, UNIT-ROOT TEST, COMMODITY PRICES, STOCK INDEX, CONFIDENCE-INTERVALS, STRUCTURAL BREAKS, ECONOMIC-ACTIVITY, IMPULSE-RESPONSE, TIME-SERIES, SHOCKS
  • Gazi University Affiliated: Yes

Abstract

This study investigates the degree of persistence in monthly Brent crude oil spot and futures prices (at one, two and three months to maturity). The main finding from the full sample shows that Brent crude oil spot, one, two and three months to maturity futures prices are characterized by a high degree of persistence without structural breaks. However, these prices are not highly persistent when structural breaks are taken into consideration. The analysis is repeated for four sub-periods delineated by the endogenously determined break points. The results obtained from the sub-period analysis indicate that oil price series are typically very persistent which is consistent with the efficient market hypothesis. (C) 2013 Published by Elsevier Ltd.