Risk Premiums and Efficiency in the Market for Crude Oil Futures Journal Articles

abstract

• The New York Mercantile Exchange's Crude Oil futures contract is investigated for the existence and nature of risk premiums and informational efficiency. During 1983-90, there is some evidence that short-term premiums were positive and covaried with recent volatility. As for efficiency, we find nothing inconsistent with weak-form efficiency, but some apparent violations cf semi-strong efficiency. We argue that, for a number of reasons, such rejections should be interpreted with caution.

authors

• Deaves, Richard
• Krinsky, Itzhak

status

• published 

publication date

• April 1992

has subject area

• 1402 Applied Economics (FoR)
• Energy (Science Metrix)

published in

• Energy Journal  Journal

keywords

• 40 Engineering
• 4004 Chemical Engineering
• 4008 Electrical Engineering
• 4012 Fluid Mechanics and Thermal Engineering

Digital Object Identifier (DOI)

• 10.5547/issn0195-6574-ej-vol13-no2-5

start page

• 93

end page

• 117

volume

• 13

issue

• 2