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Segmentation in the Crude Oil Futures Term Structure

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Lautier_7.pdf (108.0Kb)
Date
2005
Notes
La version attachée à cette notice est la version soumise à publication.
Dewey
Economie financière
Sujet
Segmentation; Information; Future Prices; Term Structure; Crude Oil
JEL code
G10; G13; O13
Journal issue
Finance India
Volume
19
Number
4
Publication date
12-2005
Article pages
1303-1320
Publisher
Prints India
URI
https://basepub.dauphine.fr/handle/123456789/95
Collections
  • LEDa : Publications
Metadata
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Author
Lautier, Delphine
Type
Article accepté pour publication ou publié
Abstract (EN)
Whereas the spatial integration has already been examined in commodity markets, empirical tests on temporal integration have never been carried out. Relying on the “preferred habitat” theory, which is applied to the crude oil market, this article investigates whether this market is segmented or not. Segmentation is defined as a situation in which different parts of the prices curve are disconnected from each other. Consequently, the information conveyed by certain prices is useless when reconstituting the rest of the curve. Empirical tests are carried out with a term structure model, the performances of which depend on the informational value of the prices retained for the estimation. We show that the crude oil futures market is segmented into three parts. The first corresponds to maturities below 28 months, the second is situated between the 29th and 47th months, and the third consists of maturities ranging from the 4th to 7th years.

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