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AA00260492-20000001-0053.pdf
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Download
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:556.3 KB
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| Last updated |
:Dec 26, 2009 |
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Total downloads since Dec 26, 2009 : 7633
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| Title |
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ARBITRAGE, HEDGING, SPECULATION AND THE PRICING OF CRUDE OIL FUTURES CONTRACTS
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MOOSA, Imad A.
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Department of Economics and Finance, La Trobe University
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Keio Economic Society, Keio University
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2000
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Keio economic studies
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37
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1
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| Year |
2000
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| Start page |
53
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61
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| Abstract |
A model is presented to explain the determination of commodity futures prices in terms of the activities of arbitrageurs and speculators. The model is tested for various maturities using the WTI crude oil as a representative commodity. The results show that the futures price is determined by the activities of arbitrageurs and futures (not spot) speculators.
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