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Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market

Research output: Contribution to journal › Article › peer-review

Standard Standard

Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market. / Abba, Saada ; Kouhy, Reza ; Muhammad, Zahid.
In: International Journal of Financial Markets and Derivatives, Vol. 5, No. 1, 17.06.2016, p. 23-35.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Abba, S, Kouhy, R & Muhammad, Z 2016, 'Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market', International Journal of Financial Markets and Derivatives, vol. 5, no. 1, pp. 23-35. https://doi.org/10.1504/IJFMD.2016.076974

APA

Abba, S., Kouhy, R., & Muhammad, Z. (2016). Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market. International Journal of Financial Markets and Derivatives, 5(1), 23-35. Advance online publication. https://doi.org/10.1504/IJFMD.2016.076974

CBE

Abba S, Kouhy R, Muhammad Z. 2016. Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market. International Journal of Financial Markets and Derivatives. 5(1):23-35. https://doi.org/10.1504/IJFMD.2016.076974

MLA

Abba, Saada , Reza Kouhy, and Zahid Muhammad. "Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market". International Journal of Financial Markets and Derivatives. 2016, 5(1). 23-35. https://doi.org/10.1504/IJFMD.2016.076974

VancouverVancouver

Abba S, Kouhy R, Muhammad Z. Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market. International Journal of Financial Markets and Derivatives. 2016 Jun 17;5(1):23-35. Epub 2016 Jun 17. doi: 10.1504/IJFMD.2016.076974

Author

Abba, Saada ; Kouhy, Reza ; Muhammad, Zahid. / Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market. In: International Journal of Financial Markets and Derivatives. 2016 ; Vol. 5, No. 1. pp. 23-35.

RIS

TY - JOUR

T1 - Price Discovery and Risk Transfer in the Brent Crude Oil Futures Market

AU - Abba, Saada

AU - Kouhy, Reza

AU - Muhammad, Zahid

PY - 2016/6/17

Y1 - 2016/6/17

N2 - This paper examines price discovery and risk transfer functions in the Brent crude oil futures market. The results show that the spot and futures prices play a significant role in price discovery but the contribution of futures price are higher at different maturities. Second, the results of cross-contract analysis indicate that futures contract with longer maturity lead price discovery in the oil market. Finally, the crude oil futures price does not perform the risk transfer function in interaction with the spot price in various maturities and between different futures contracts. The findings have important implications for market participants and policy makers.

AB - This paper examines price discovery and risk transfer functions in the Brent crude oil futures market. The results show that the spot and futures prices play a significant role in price discovery but the contribution of futures price are higher at different maturities. Second, the results of cross-contract analysis indicate that futures contract with longer maturity lead price discovery in the oil market. Finally, the crude oil futures price does not perform the risk transfer function in interaction with the spot price in various maturities and between different futures contracts. The findings have important implications for market participants and policy makers.

U2 - 10.1504/IJFMD.2016.076974

DO - 10.1504/IJFMD.2016.076974

M3 - Article

VL - 5

SP - 23

EP - 35

JO - International Journal of Financial Markets and Derivatives

JF - International Journal of Financial Markets and Derivatives

IS - 1

ER -