Price discovery in crude oil futures

2014 ◽  
Vol 46 ◽  
pp. S18-S27 ◽  
Author(s):  
John Elder ◽  
Hong Miao ◽  
Sanjay Ramchander
Keyword(s):  
Crude Oil ◽  
Price Discovery ◽  
Oil Futures ◽  
Crude Oil Futures

scholarly journals Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process

2020 ◽  
Vol 23 (2) ◽  
pp. 393-407
Author(s):  
Keshab Shrestha ◽  
Sheena Philip ◽  
Yessy Peranginangin
Keyword(s):  
Crude Oil ◽  
Price Discovery ◽  
Exchange Traded Funds ◽  
Discovery Process ◽  
Information Share ◽  
Oil Futures ◽  
Price Series ◽  
Daily Data ◽  
Crude Oil Futures ◽  
Price Discovery Process

This study empirically investigates the contributions of three crude oil-based exchange-traded funds (ETFs) in the price discovery process. Using daily data on the crude oil spot, near month crude oil futures, and three crude-oil-based ETFs, we analyze the price discovery contributions of the five-price series. We use two information share measures, namely the generalized information share (GIS) measure (Lien and Shrestha, 2014) and the permanent-temporary decomposition (PT/GG) measure (Gonzalo and Granger, 1995). We find that the futures market dominates the price discovery process. However, we also find that the crude-oil-based ETFs significantly contribute to the price discovery process. Thus, we find that additional ETFs play a significant role in price discovery. Therefore, they are not redundant in terms of their price discovery contributions.

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