An Empirical Study on oil futures basis

• Main Authors: Chen-Ting Chang, 張甄庭
• Other Authors: Wen-Chung Kuo
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/71666565680076981685

碩士 === 國立臺北大學 === 經濟學系 === 102 === Basis is the difference between oil futures price and oil spot price. In practice basis is an important reference index as the movements of short-term futures prices. In this paper, we collect the daily data of West Texas Intermediate crude oil futures basis over the period January 1993 to November 2013 for research to observe which explanatory variables are impact significance in different time series models such as GLS model、GARCH model、EGARCH model、EGARCH-M model. And observe predicted results of these models. Finally, we compare the result of out-of-sample forecasting. The investigation results indicate that one lag oil basis, U.S. crisis, oil futures volume and oil spot price returns in every econometric model are significant and stable. Lag one oil basis and basis have a significantly positive correlation; the coefficient is from 0 to 0.6, which means that the basis has a mean reverting phenomenon. Besides, U.S. crisis has a positive correlation with basis, which means that banks raise interest rates when crisis happen, so that investors prefer to buy oil futures because of the cost of spot crude oil is more expensive than before. Oil spot price returns and basis have a significantly negative correlation. Refers to futures reversal effect, oil spot and futures price rising, but the growth rate of futures is less than spot price. It indicates that futures have reversal effect that makes basis become smaller.