Price dynamics in refined petroleum spot and futures markets

Risk premium in the UK natural gas forward market

“…The theory of storage is a model for the relationship between current forward and spot prices for a storable commodity, such as gas (Fama andFrench (1987), French (1986), Ng andPirrong (1996), Hull (2003)). It states that the difference between the spot and forward price quoted on the same day (i.e.…”

Volatility Transmission in the Real Estate Spot and Forward Markets

“…They include Hamao et al (1990), Engle and Susmel (1993), Lin et al (1994), Koutmos and Booth (1995), Karolyi (1995), Kim and Rui (1999), Wang et al (2002), and Cifarelli and Paladino (2005). There were also studies on volatility spillovers between spot and futures markets, such as stock indices (Chin et al 1991;Booth and So 2003), interest rates (Crain and Lee 1995), refined petroleum (Ng and Pirrong 1996), wheat (Crain and Lee 1996), and foreign exchange (Wang and Wang 2001). Volatility clustering and spillovers (either forward-to-spot or feedback relationships) were commonly found in these markets.…”

“…Forward-to-spot spillovers were found for interest rates(Crain and Lee 1995), oil(Ng and Pirrong 1996), and wheat(Crain and Lee 1996), whereas feedback spillovers were found for stock indices(Chin et al 1991;Booth and So 2003) and foreign exchange(Wang and Wang 2001).…”

An analysis of the relationship between electricity and natural‐gas futures prices

“…Similarly, Serletis (1992) found that the crude-oil, unleaded-gasoline, and heating-oil prices in his sample were stationary after allowing for a one-time break in the intercept and slope of the trend function. Ng and Pirrong's (1996) error-correction models indi-cated that informed trading takes place in the gasoline and heating-oil futures markets and spills over to the corresponding spot markets. Focusing on spot prices, Borenstein, Cameron, and Gilbert (1997) found that gasoline prices respond more quickly to increases than to decreases in crude-oil prices.…”