Cointegration and causality in capital markets

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ID: 92950
2018
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Abstract
Purpose - The purpose of this paper is to study the efficiency of different oil and gas markets. Most previous studies examined the issue using low frequency date sampled at monthly, weekly, or daily frequencies. In this study, 30-minute intraday data are used to explore efficiency in energy markets. Design/methodology/approach - Sophisticated statistical analysis techniques such as Granger-causality regressions, augmented Dickey-Fuller tests, cointegration tests, vector autoregressions are used to explore the transmission of information between oil and gas energy markets. Findings - This study provides evidence for efficiency in energy markets. The new information that arrives either to futures markets or spot markets is digested correctly, completely, and in a fast manner, and is propagated to the other market. The evidence indicates high efficiency. Originality/value - This study is one of the first papers that uses 30-minute interval intraday data to investigate efficiency in oil and gas commodity markets.
Reference Key
inci2018cointegrationjournal Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Inci, A. Can;
Journal journal of capital markets studies
Year 2018
DOI
DOI not found
URL
https://www.emeraldinsight.com/doi/pdfplus/10.1108/JCMS-03-2018-0009
Keywords
Technology economics as a science finance economic theory. demography industrial engineering. management engineering applied mathematics. quantitative methods public finance

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