A Study on Long Term Relationship of Spot and Future Prices in Energy Commodities

Authors(2) :-Dr. S. P. Dhandayuthapani, R. Pavithra

This study examines the active relationship of spot and future prices in energy commodities. The major objective of this study is to check their stationarity and the long term relationship between the daily commodity future and spot prices. To confer the relationship, the ADF and PP test are applied to test their stationarity and Johansen cointegration test implied to study their relationship of spot and future prices of the commodities. Energy commodities such as crude oil and natural gas are considered for this study.

Authors and Affiliations

Dr. S. P. Dhandayuthapani
Department of Management Studies, Anna University, BIT Campus, Trichy, Tamil Nadu, India
R. Pavithra
Department of Management Studies, Anna University, BIT Campus, Trichy, Tamil Nadu, India

ADF Test, PP Test, Johansen Cointegration Test.

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Publication Details

Published in : Volume 3 | Issue 3 | May-June 2017
Date of Publication : 2017-06-30
License:  This work is licensed under a Creative Commons Attribution 4.0 International License.
Page(s) : 08-11
Manuscript Number : IJSRSET1732231
Publisher : Technoscience Academy

Print ISSN : 2395-1990, Online ISSN : 2394-4099

Cite This Article :

Dr. S. P. Dhandayuthapani, R. Pavithra, " A Study on Long Term Relationship of Spot and Future Prices in Energy Commodities, International Journal of Scientific Research in Science, Engineering and Technology(IJSRSET), Print ISSN : 2395-1990, Online ISSN : 2394-4099, Volume 3, Issue 3, pp.08-11 , May-June-2017.
Journal URL : http://ijsrset.com/IJSRSET1732231

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