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Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices

Lautier, Delphine; Raynaud, Franck; Robe, Michel (2017), Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices, AFFI 34th International Conference, Valence, FRANCE

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Type
Communication / Conférence
Date
2017
Conference title
AFFI 34th International Conference
Conference city
Valence
Conference country
FRANCE
Metadata
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Author(s)
Lautier, Delphine

Raynaud, Franck

Robe, Michel
Abstract (EN)
We apply the concepts of mutual information and information flows and we built directedgraphs to investigate empirically the propagation of price fluctuations across a futures termstructure. We focus on price relationships for North American crude oil futures because this keymarket experienced several structural shocks between 2000 and 2014: financialization (startingin 2003), infrastructure limitations (in 2008-2011) and regulatory changes (in 2012-2014). Wefind large variations over time in the amount of information shared by contracts with differentmaturities. The mutual information increased substantially starting in 2004 but fell back sharplyin 2012-2014. In the crude oil space, our findings point to a possible re-segmentation of the futuresmarket by maturity in 2012-2014. This raises questions about the causes of market segmentation.In addition, although on average short-dated contracts (up to 6 months) emit more informationthan backdated ones, a dynamic analysis reveals that, after 2012, similar amounts of informationflow backward as flow forward along the futures maturity curve. Moreover, the directions of thetransfers between pairs of maturities become drastically different. This has implications for theSamuelson effect.
Subjects / Keywords
Mutual information; Market integration; Shocks propagation; Information flows; Directed graphs; Term structure; Futures; Crude oil; WTI; Q02; G10; G13; G14; Q40
JEL
Q02 - Commodity Markets
G10 - General
G13 - Contingent Pricing; Futures Pricing
G14 - Information and Market Efficiency; Event Studies; Insider Trading
Q40 - General

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