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المؤلفCharfeddine, Lanouar
المؤلفBen Khediri, Karim
المؤلفMrabet, Zouhair
تاريخ الإتاحة2020-06-23T20:45:41Z
تاريخ النشر2019
اسم المنشورResearch in International Business and Finance
المصدرScopus
الرقم المعياري الدولي للكتاب2755319
معرّف المصادر الموحدhttp://dx.doi.org/10.1016/j.ribaf.2018.10.004
معرّف المصادر الموحدhttp://hdl.handle.net/10576/15120
الملخصThis paper contributes to the empirical literature on the forward premium anomaly by investigating possible statistical explanations for this puzzling phenomenon in the energy market. To this end, time series of spot and different forward maturities for West Texas Intermediate (WTI) crude oil and Reformulated Gasoline Blendstock for Oxygen Blending (RBOB) traded on the New York Mercantile Exchange (NYMEX) over the period 1986–2018 are used. The statistical properties of the spot and forward premium time series are examined by using unit root tests with structural breaks and a long memory process. The time-varying slope coefficient of regressing spot returns on the lagged forward premium is then estimated via the rolling sample technique and the state space model using the Kalman filter. The empirical results provide strong support for the presence of multiple structural breaks and long memory in the forward premium of the crude oil and RBOB energy time series in contrast to the spot returns series, which are stationary. The results also show evidence for time-varying beta coefficients for all the energy maturities considered. Overall, there is strong evidence for the forward premium anomaly with a larger negative slope parameter for the crude oil compared to the regular RBOB gasoline. The rejection of the forward rate unbiasedness hypothesis suggests that the futures price cannot play a significant role in price discovery.
اللغةen
الناشرElsevier Ltd
الموضوعEnergy markets
Forward discount
Forward premium
Rolling approach
State space model
العنوانThe forward premium anomaly in the energy futures markets: A time-varying approach
النوعArticle
الصفحات600-615
رقم المجلد47
dc.accessType Abstract Only


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