Risk Premiums and Efficiency in the Market for Crude Oil Futures
- 1 April 1992
- journal article
- Published by SAGE Publications in The Energy Journal
- Vol. 13 (2) , 93-117
- https://doi.org/10.5547/issn0195-6574-ej-vol13-no2-5
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.Keywords
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