Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach

Energy Economics

Volumn 32, Issue 5, 2010, Pages 979-986

  Lean, Hooi Hooi ^a   McAleer, Michael ^b   Wong, Wing Keung ^c  

^a SCHOOL OF PHYSICS   (Malaysia)

^b Erasmus University Rotterdam   (Netherlands)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Market efficiency; Mean variance criterion; Oil futures market; Risk averter; Stochastic dominance

Indexed keywords

BEFORE AND AFTER; EMPIRICAL FINDINGS; MARKET EFFICIENCY; MEAN VARIANCE; MEAN-VARIANCE CRITERION; NO ARBITRAGE; OIL FUTURES MARKET; OIL MARKET; PORTFOLIO DIVERSIFICATION; STOCHASTIC DOMINANCE; WEST TEXAS INTERMEDIATES;

CRUDE OIL; STOCHASTIC SYSTEMS;

COMMERCE;

COMMODITY PRICE; CRUDE OIL; ECONOMIC DIVERSIFICATION; EMPIRICAL ANALYSIS; OIL SUPPLY; PRICE DETERMINATION; STOCHASTICITY; VARIANCE ANALYSIS;

TEXAS; UNITED STATES;

EID: 77956732162     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2010.05.001     Document Type: Article

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