The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis

Filippidis, M., Kizys, R., Filis, G. and Floros, C. 2019. The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis. International Journal of Banking, Accounting and Finance. 10 (1), pp. 3-38. https://doi.org/10.1504/IJBAAF.2019.099309

TitleThe WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis
TypeJournal article
AuthorsFilippidis, M., Kizys, R., Filis, G. and Floros, C.
Abstract

This study examines the globalisation-regionalisation hypothesis in the WTI/Brent crude oil futures price differential by considering a set of potential crude oil-market specific and oil futures market specific determinants at 1, 3 and 6 months to maturity contracts. We employ monthly data over the period 1993:1-2016:12. Our results show that different determinants explain the spread between the WTI and Brent futures prices at different maturities. In the shorter-run maturities (1-month and 3-month) we find that spreads of the convenience yield, oil production, open interest and trading volume exercise significant effects in the WTI/Brent futures price differential. By contrast, for longer-run maturities (6-month), spreads of the oil production, oil consumption and open interest seem to exercise the most significant effects. We further provide evidence of a regionalised oil futures market over the short-run. The findings of this study provide valuable information to energy investors, traders and hedgers.

JournalInternational Journal of Banking, Accounting and Finance
Journal citation10 (1), pp. 3-38
ISSN1755-3849
1755-3830
Year2019
PublisherInderscience Publishers
Digital Object Identifier (DOI)https://doi.org/10.1504/IJBAAF.2019.099309
Publication dates
Published2019

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