The relationship between risk Premium varies over time and spot prices: a case study Crude oil futures market

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Khoshkalam Muosa; Mahdavi Rouhollah

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:12 | Issue:43 Page(s): 193-206

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Title

The relationship between risk Premium varies over time and spot prices: a case study Crude oil futures market

Author(s)

Khoshkalam Muosa | Mahdavi Rouhollah | Issue Writer Certificate

Keywords

Time-Varying Risk premiumQ1

Spot priceQ1

futures marketsQ1

crude oilQ2

Abstract

The various studies results Illustrate about the presence of Time-Varying Risk premium in oil futures market. This paper investigates existence of risk premium, varying of its in time and its effectiveness on oil Spot price using data for period 1986-2016. The research method in present research is in term of purpose applied, in term of method descriptive-correlation and in term of data nature quantitative. For insight to goals, the paper use from GARCH method, Co-integration test and Vector Error Correction model (VECM). The results of estimations point to risk premium fixed in period 1986-2016, but risk premium is time varying in short period (2004-2016). Also, the results of Co-integration test and vector error correction model indicate to coefficient of risk premium be negative in the period 1986-2016, whereas this coefficient is positive in the period 2004-2016. The coefficients show to oil market estate in Contango position in the period 1986-2016 and normal backwardation in the period 2004-2016.

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APA: Copy

Khoshkalam, Muosa, & Mahdavi, Rouhollah. (2019). The relationship between risk Premium varies over time and spot prices: a case study Crude oil futures market. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(43 ), 193-206. SID. https://sid.ir/paper/200089/en

Vancouver: Copy

Khoshkalam Muosa, Mahdavi Rouhollah. The relationship between risk Premium varies over time and spot prices: a case study Crude oil futures market. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;12(43 ):193-206. Available from: https://sid.ir/paper/200089/en

IEEE: Copy

Muosa Khoshkalam, and Rouhollah Mahdavi, “The relationship between risk Premium varies over time and spot prices: a case study Crude oil futures market,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 43 , pp. 193–206, 2019, [Online]. Available: https://sid.ir/paper/200089/en

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