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- W2021973946 abstract "This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. As there is no evidence of any MV and SD relationship between oil spot and futures, we conclude: there is no arbitrage opportunity between these two markets, spot and futures do not dominate one another, investors are indifferent to investing in spot or futures, and the spot and futures oil markets are efficient and rational for both the Brent and West Texas Intermediate crude oil markets. Our empirical findings are robust to each sub-period before and after the crises for different crises, and also to portfolio diversification." @default.
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- W2021973946 date "2010-01-01" @default.
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- W2021973946 title "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach" @default.
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- W2021973946 doi "https://doi.org/10.2139/ssrn.1537103" @default.
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