Analysing The Cointegration And Causality Relationship Between Future And Spot Prices Of Crude Oil Market

Authors

  • Priyanka. L, Dr.A.A.Ananth,

Abstract

- In this study, the researcher was made to analyse the relationship of long-term association and causality between future crude oil market prices and spot prices. The daily spot and future data for the period from 3rd April 2017 to 29th March 2019 were collected from MCX website. The results of the descriptive statistics showed that future prices are more than the spot prices it indicates Contango.  Johansen's Cointegration test was examined the long-term relationship between the variables, the findings showed a long-term equilibrium relationship between future crude oil market prices and spot prices. And the granger causality test showed that the variables don't have a causal link. The spot and future prices had no relation between cause and effect.

Published

2020-11-01

Issue

Section

Articles