UNBIASEDNESS AND TIME-VARYING RISK PREMIA IN THE CRUDE-OIL FUTURES MARKET

Authors
MOOSA IA ALLOUGHANI NE
Citation
Ia. Moosa et Ne. Alloughani, UNBIASEDNESS AND TIME-VARYING RISK PREMIA IN THE CRUDE-OIL FUTURES MARKET, Energy economics, 16(2), 1994, pp. 99-105
Citations number
24
Categorie Soggetti
Economics
Journal title
Energy economics → ACNP
ISSN journal
01409883
Volume
16
Issue
2
Year of publication
1994
Pages
99 - 105
Database
ISI
SICI code
0140-9883(1994)16:2<99:UATRPI>2.0.ZU;2-H
Abstract
This paper presents some empirical evidence on market efficiency and u nbiasedness in the crude oil futures market and some related issues. O n the basis of monthly observations on spot and futures prices of the West Texas Intermediate (WTI) crude oil, several tests are carried out on the relevant hypotheses. The evidence suggests that futures prices are neither unbiased nor efficient forecasters of spot prices. Furthe rmore, a GARCH-M(1,1) model reveals the existence of a time varying ri sk premium.