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Segmentation in the Crude Oil Futures Term Structure

Lautier, Delphine (2005), Segmentation in the Crude Oil Futures Term Structure, Finance India, 19, 4, p. 1303-1320

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Type
Article accepté pour publication ou publié
Date
2005
Journal name
Finance India
Volume
19
Number
4
Publisher
Prints India
Pages
1303-1320
Metadata
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Author(s)
Lautier, Delphine
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.
Subjects / Keywords
Segmentation; Information; Future Prices; Term Structure; Crude Oil
JEL
G10 - General
G13 - Contingent Pricing; Futures Pricing
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products

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