A comparison of petroleum futures versus spot prices as predictors of prices in the future
Abstract
Even though studies have indicated that the futures market leads the spot market in price discovery, this paper hypothesizes that the 'predictive' significance of each should be the same. A number of different statistical tests are presented to test this hypothesis. When deseasonalized data is employed the predictive significance of each series is found to be the same, but when actual prices are employed, futures prices did correctly anticipate the observed seasonal pattern.
- Publication:
-
Energy Economics
- Pub Date:
- 1991
- DOI:
- 10.1016/0140-9883(91)90007-M
- Bibcode:
- 1991EneEc..13..274B
- Keywords:
-
- Petroleum futures;
- Spot prices;
- Futures prices