Linkages among the US energy futures markets

Aruga, Kentaka & Managi, Shunsuke (2013) Linkages among the US energy futures markets. International Journal of Global Energy Issues, 36(1), p. 13.

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This study investigates the price linkage among the US major energy sources, considering structural breaks in time series, to provide information for diversifying the US energy sources. We find that only a weak linkage sustains among crude oil, gasoline, heating oil, coal, natural gas, uranium and ethanol futures prices. This implies that the US major energy source markets are not integrated as one primary energy market. Our tests also reveal that uranium and ethanol futures prices have very weak linkages with other major energy source prices. This indicates that the US energy market is still at a stage where none of the probable alternative energy source markets are playing the role as substitute or complement markets for the fossil fuel energy markets.

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ID Code: 75377
Item Type: Journal Article
Refereed: Yes
Keywords: Cointegration test; Futures market; Structural break
DOI: 10.1504/IJGEI.2013.055934
ISSN: 1741-5128
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 21 Aug 2014 06:50
Last Modified: 22 Aug 2014 03:08

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