OIL FUTURES PRICES AND STOCK MANAGEMENT - A COINTEGRATION ANALYSIS

被引：7

作者：

BALABANOFF, S

机构：

[1] 1020 Vienna

来源：

ENERGY ECONOMICS | 1995年 / 17卷 / 03期

关键词：

OIL STOCKS; FUTURES PRICES; COINTEGRATION;

D O I：

10.1016/0140-9883(95)00024-O

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Futures markets are considered important to hedgers and speculators. Therefore, they are relevant to stock management. This issue is tested empirically by applying the methodology of cointegration analysis and causality testing to the monthly average of commercial (non-strategic) primary oil stocks and monthly averages of West Texas Intermediate (WTI) spot and futures prices for one month and three-months delivery, over the period January 1985 to June 1993. Long- and short-run relations are presented. The results support the view of a relationship between futures prices and oil stocks.

引用

页码：205 / 210

页数：6