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Finance and Financial Management Commons

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Bryant University

Series

Cointegration; energy; commodity markets; oil and gas markets

Articles 1 - 1 of 1

Full-Text Articles in Finance and Financial Management

Cointegration And Causality In Capital Markets, A. Can Inci Jul 2018

Cointegration And Causality In Capital Markets, A. Can Inci

Finance Department Faculty Journal Articles

Purpose

The purpose of this paper is to study the efficiency of different oil and gas markets. Most previous studies examined the issue using low frequency date sampled at monthly, weekly, or daily frequencies. In this study, 30-minute intraday data are used to explore efficiency in energy markets.

Design/methodology/approach

Sophisticated statistical analysis techniques such as Granger-causality regressions, augmented Dickey-Fuller tests, cointegration tests, vector autoregressions are used to explore the transmission of information between oil and gas energy markets.

Findings

This study provides evidence for efficiency in energy markets. The new information that arrives either to futures markets or spot markets …