Crude oil is the backbone of any economy. The volatility in the oil prices can disturb the economic activities in the entire economy worldwide. Checking the performance of crude oil derivative products is the main area of concern now a days. The main purpose of the current study is to empirically inspect that whether Indian Crude Oil futures market is efficient and govern the way of information flow between the spot and futures of crude oil. Applied Econometric tests on time series daily data of closing spot and future prices of crude oil from January 2012 to December 2019 indicates that both crude oil spot and future markets are cointegrated and error correction also happens in both the markets. This study explored that in short run unidirectional causation flows from crude oil spot prices to Future crude prices and also proved long run association between both the variable series.
Efficiency Testing of Indian Crude Oil Futures
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99 Downloads
Published 2021-09-30
Pages 31-38
Abstract
Keywords
Crude oil
Spot, Futures
Efficiency
Cointegration
Relationship
Correction
References
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