@article{b24cadb96e4840c5af3aabfc4b7606ac,
title = "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach",
abstract = "This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil spot and futures indices. This infers that there is no arbitrage opportunity between these two markets, spot and futures do not dominate one another, investors are indifferent to investing spot or futures, and the spot and futures oil markets are efficient and rational. The empirical findings are robust to each sub-period before and after the crises for different crises, and also to portfolio diversification.",
keywords = "Mean-variance criterion, Stochastic dominance, Risk averter, Oil futures market, Market efficiency",
author = "Lean, \{Hooi Hooi\} and Michael McAleer and Wing-Keung Wong",
note = "Funding information: The authors are most grateful to the editor and two reviewers for their substantive comments and suggestions, and to Heng Li for the assistance with the computations. The first author would like to acknowledge Universiti Sains Malaysia RU Grant No. 1001/PSOSIAL/816094. The second author wishes to acknowledge the financial support of the Australian Research Council, National Science Council, Taiwan, Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics, University of Tokyo, and a Visiting Erskine Fellowship at the University of Canterbury, New Zealand. The third author would like to thank Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement, and to acknowledge the financial support of grant \#202809 from the Research Grants Council of Hong Kong. Publisher copyright: {\textcopyright} 2010 Elsevier B.V.",
year = "2010",
month = sep,
doi = "10.1016/j.eneco.2010.05.001",
language = "English",
volume = "32",
pages = "979--986",
journal = "Energy Economics",
issn = "0140-9883",
publisher = "Elsevier B.V.",
number = "5",
}