Market Timing, Forecast Ability and Information Flow in Petroleum Futures Markets

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Description

Three petroleum futures contracts are examined over a ten-year period from 1986 to 1996. Intertemporal changes in futures prices and the net open interest positions of three trader types are compared to determine what, if any, market timing ability the traders have. Seasonal variation is considered and a simple trading rule is adopted to determine the dollar-return potential for market participation and shed light on issues of market efficiency.

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vi, 214 : ill.

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Buchanan, William K. December 1997.

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  • Buchanan, William K.

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Description

Three petroleum futures contracts are examined over a ten-year period from 1986 to 1996. Intertemporal changes in futures prices and the net open interest positions of three trader types are compared to determine what, if any, market timing ability the traders have. Seasonal variation is considered and a simple trading rule is adopted to determine the dollar-return potential for market participation and
shed light on issues of market efficiency.

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vi, 214 : ill.

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UNT Theses and Dissertations

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  • December 1997

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  • March 26, 2014, 9:30 a.m.

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  • Oct. 6, 2014, 9:07 a.m.

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Buchanan, William K. Market Timing, Forecast Ability and Information Flow in Petroleum Futures Markets, dissertation, December 1997; Denton, Texas. (https://digital.library.unt.edu/ark:/67531/metadc278807/: accessed May 23, 2019), University of North Texas Libraries, Digital Library, https://digital.library.unt.edu; .