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
| Title | The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis |
|---|---|
| Type | Journal article |
| Authors | Filippidis, 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. |
| Journal | International Journal of Banking, Accounting and Finance |
| Journal citation | 10 (1), pp. 3-38 |
| ISSN | 1755-3849 |
| 1755-3830 | |
| Year | 2019 |
| Publisher | Inderscience Publishers |
| Digital Object Identifier (DOI) | https://doi.org/10.1504/IJBAAF.2019.099309 |
| Publication dates | |
| Published | 2019 |