This study examines the behaviour of crude oil spot and futures market
s in the UK and USA during the 1990-91 Gulf conflict. The objective is
to investigate the relative ability of spot and futures markets to im
pound information. This is achieved with the use of a generalized mode
l of price discovery which represents a synthesis of the two most comm
only used methodologies in its field. Emphasis is placed on the time-v
arying nature of price discovery relationships. Results indicate that
such relationships are strongly temporal. These findings offer new ins
ights into the nature of relationships between spot and futures market
s.