The pricing efficiency of crude oil futures in the Shanghai International Exchange
Finance Research Letters(2020)
摘要
•We investigate the pricing efficiency of the newly emerged crude oil futures in INE.•With a limited sample period, we employ a series of robust statistics.•Crude oil futures of INE have an equilibrium relationship with five representative spot markets.•The evidence of Granger causality is mixed but supports the efficiency of the INE in the Asia-Pacific region.
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关键词
Pricing efficiency,Crude oil market,Granger causality,Cointegration
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