The effect of seasonal hedging on energy futures spreads: A test of market efficiency.
This dissertation tests the efficiency of selected NYMEX petroleum futures spreads. It is argued that seasonal changes in hedging activity cause seasonal biases in futures price spreads. A multimarket equilibrium model is presented which illustrates the effect of seasonal hedging behavior on spreads...
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| Language: | en |
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The University of Arizona.
1990
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| Online Access: | http://hdl.handle.net/10150/185306 |