Publication:
Linear and non-linear Granger causality between oil spot and futures prices: a wavelet based test
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Mohammed Alzahrani | |
| dc.contributor.author | Abul Mansur Mohammed Masih | |
| dc.contributor.author | Omar Al-Titi | |
| dc.date.accessioned | 2016-06-06 | |
| dc.date.accessioned | 2016-07-25T20:05:41Z | |
| dc.date.available | 2016-06-06 | |
| dc.date.available | 2016-07-25T20:05:41Z | |
| dc.date.disclosure | 2016-06-10 | |
| dc.date.issued | 2014 | |
| dc.description.abstract | 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. | |
| dc.identifier.citation | Alzahrani, 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.doi | https://doi.org/10.1016/j.jimonfin.2014.07.001 | |
| dc.identifier.uri | https://ikr.inceif.edu.my/handle/INCEIF/1368 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Elsevier | |
| dc.rights | 2014. Elsevier | |
| dc.source | CRP | |
| dc.subject | Causality | |
| dc.subject | Wavelet method | |
| dc.subject | Oil prices | |
| dc.subject | Oil futures | |
| dc.title | Linear and non-linear Granger causality between oil spot and futures prices: a wavelet based test | |
| dc.type | Journal Article | |
| dlc.maintopic | Conventional finance | |
| dlc.subtopic | Economics | |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | |
| ikr.topic.subtopic | Conventional finance | |
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