چکیده:
This study examines the dynamic behavior of WTI crude oil spot and futures prices in the NYMEX exchange market, considering the volatility and sharp increase in oil prices in recent years. Topics such as price discovery, market efficiency and stability, and the relationship between spot and futures prices are among the important issues addressed. In the theoretical discussions, two perspectives of the cost-of-carry model for pricing capital goods have been utilized. Fama equations are presented to identify information contained in futures prices as well as risk premium, and then each of them is examined through NYMEX market data. Subsequently, using causality tests, the lead and lag relationship between spot and futures prices is investigated. Results show that futures contracts are an imperfect predictor of future spot prices and contain useful information regarding future prices. Convergence tests indicate the existence of a long-term relationship between spot and futures prices, and causality tests demonstrate that a bidirectional causal relationship exists between futures and spot prices. Therefore, paper markets are effective in price discovery.
خلاصه ماشینی:
In the cost of carry model, for storable consumer goods, the following relationships hold for determining futures prices: (1) (Refer to page image) S: Spot price F: Futures contract price t: Time T: Delivery time of the futures contract W: Cost of holding the commodity r: Risk-free interest rate c: Convenience yield 3 The cost of holding a commodity over a period is a function of the interest rate and storage costs, which is considered as a coefficient of the commodity price.
The Fama method is essentially based on the following two econometric models: (4) (Refer to page image) (5) (Refer to page image) :W Brent crude oil spot price :F Oil futures contract price :T Contract months (3, 2, 1) :t time In the equations, if the coefficient (Refer to page image) is not significantly zero, then the futures market data contain information about future spot prices.
Salah Abosedra To investigate whether futures prices (PF) contain predictive information within themselves, model 8 is used: (8)(Refer to page image) Futures prices perform better than the simple period when coefficient b1 is significant and coefficient b2 is insignificant; the reverse is also true.
As can be inferred from Table 1, the coefficient (Refer to page image) is significant for all three contracts, meaning that futures contracts contain information regarding future spot oil prices.
Results of model number 6 and Wald test (Refer to page image) Cointegration tests indicate the existence of a long-term relationship between spot prices and futures prices.
(
, 
, 
)
