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Full-Text Articles in Finance and Financial Management
Cointegration And Causality In Capital Markets, A. Can Inci
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 …