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Market Efficiency of Oil Spot and Futures : A Stochastic Dominance Approach
http://hdl.handle.net/2261/33413
http://hdl.handle.net/2261/33413419e37d7-3b90-411f-a7df-85d144e27f1c
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Market Efficiency of Oil Spot and Futures : A Stochastic Dominance Approach | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Stochastic dominance | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | risk averter | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | risk seeker | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | futures market | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | spot market | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classifications: C14, G12, G15. | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Lean, Hooi Hooi
× Lean, Hooi Hooi× McAleer, Michael× Wong, Wing-Keung |
|||||
著者所属 | ||||||
著者所属 | School of Social Sciences Universiti Sains Malaysia | |||||
著者所属 | ||||||
著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute The Netherlands | |||||
著者所属 | ||||||
著者所属 | Department of Economics Hong Kong Baptist University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between these two markets, and that both market efficiency and market rationality are not rejected in the oil spot and futures markets. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-705, 発行日 2010-01 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf705ab.html |