Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis
The causal relationships between spot and futures crude oil prices have attracted the attention of many researchers in the past several decades. Most of the studies, however, do not distinguish among the various oil market situations in analyses of linear and nonlinear causalities. In light of the f...
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doaj-5f00a8af39504688aebf99631ce4d6282020-11-24T23:31:33ZengMDPI AGSustainability2071-10502019-03-01115135910.3390/su11051359su11051359Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality AnalysisXianfang Su0Huiming Zhu1Xinxia Yang2School of Big Data Application and Economics, Guizhou University of Finance and Economics, Guiyang 550004, ChinaCollege of Business Administration, Hunan University, Changsha 410082, ChinaSchool of Mathematics and Statistics, Guizhou University of Finance and Economics, Guiyang 550004, ChinaThe causal relationships between spot and futures crude oil prices have attracted the attention of many researchers in the past several decades. Most of the studies, however, do not distinguish among the various oil market situations in analyses of linear and nonlinear causalities. In light of the fact that a booming or depressing oil market produces heterogeneous investment behaviors, this study applied a quantile causality framework to capture different causalities across various quantile levels and found that the causal relationships between crude oil spot and futures prices significantly derive from tail quantile intervals and appear as heterogeneous effects. Before the Iraq War, crude oil spot and futures prices were mutually Granger-caused at lower quantile levels, and only futures prices led spot prices at upper quantile levels. Since the war, a clear bidirectional causality has existed at the upper quantile levels, but only in lower quantile levels have futures prices led spot prices. These results provide useful information to investors using crude spot or futures prices to hedge or manage downside or upside risks in their portfolios.http://www.mdpi.com/2071-1050/11/5/1359crude oil marketfutures priceheterogeneous relationshipquantile causality test |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Xianfang Su Huiming Zhu Xinxia Yang |
spellingShingle |
Xianfang Su Huiming Zhu Xinxia Yang Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis Sustainability crude oil market futures price heterogeneous relationship quantile causality test |
author_facet |
Xianfang Su Huiming Zhu Xinxia Yang |
author_sort |
Xianfang Su |
title |
Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis |
title_short |
Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis |
title_full |
Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis |
title_fullStr |
Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis |
title_full_unstemmed |
Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis |
title_sort |
heterogeneous causal relationships between spot and futures oil prices: evidence from quantile causality analysis |
publisher |
MDPI AG |
series |
Sustainability |
issn |
2071-1050 |
publishDate |
2019-03-01 |
description |
The causal relationships between spot and futures crude oil prices have attracted the attention of many researchers in the past several decades. Most of the studies, however, do not distinguish among the various oil market situations in analyses of linear and nonlinear causalities. In light of the fact that a booming or depressing oil market produces heterogeneous investment behaviors, this study applied a quantile causality framework to capture different causalities across various quantile levels and found that the causal relationships between crude oil spot and futures prices significantly derive from tail quantile intervals and appear as heterogeneous effects. Before the Iraq War, crude oil spot and futures prices were mutually Granger-caused at lower quantile levels, and only futures prices led spot prices at upper quantile levels. Since the war, a clear bidirectional causality has existed at the upper quantile levels, but only in lower quantile levels have futures prices led spot prices. These results provide useful information to investors using crude spot or futures prices to hedge or manage downside or upside risks in their portfolios. |
topic |
crude oil market futures price heterogeneous relationship quantile causality test |
url |
http://www.mdpi.com/2071-1050/11/5/1359 |
work_keys_str_mv |
AT xianfangsu heterogeneouscausalrelationshipsbetweenspotandfuturesoilpricesevidencefromquantilecausalityanalysis AT huimingzhu heterogeneouscausalrelationshipsbetweenspotandfuturesoilpricesevidencefromquantilecausalityanalysis AT xinxiayang heterogeneouscausalrelationshipsbetweenspotandfuturesoilpricesevidencefromquantilecausalityanalysis |
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