Cointegration and Causality in Capital Markets

Journal of Capital Markets Studies, 2.1, 82-94 (2018)

Posted: 3 Feb 2020

Date Written: 2018

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.

Keywords: Cointegration, Energy, Commodity markets, Oil and gas markets

JEL Classification: G13, G14, Q32, Q35, Q41

Suggested Citation

Inci, Ahmet Can, Cointegration and Causality in Capital Markets (2018). Journal of Capital Markets Studies, 2.1, 82-94 (2018). Available at SSRN: https://ssrn.com/abstract=3516788

Ahmet Can Inci (Contact Author)

Bryant University ( email )

1150 Douglas Pike
Smithfield, RI 02917
United States

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