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

Authors(2):

Dr. S. P. Dhandayuthapani, R. Pavithra
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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.

Dr. S. P. Dhandayuthapani, R. Pavithra

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 Print ISSN Online ISSN
2017-06-30 2395-1990 2394-4099
Page(s) Manuscript Number   Publisher
08-11 IJSRSET1732231   Technoscience Academy

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.
URL : http://ijsrset.com/IJSRSET1732231.php

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