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Faculty Selected Works of Yiuman Tse
Article
Information Shares in International Oil Futures Markets
International Review of Economics & Finance (1997)
  • Yiuman Tse, University of Missouri-St. Louis
  • G. Geoffrey Booth, Saint Petersburg State University
Link
Abstract
This paper explores the cointegration system to examine the intermarket information transmission between the New York heating oil futures and London gasoil futures. Vector error correction model regressions and information share analysis show that the heating oil futures is the dominant market.
Disciplines
Publication Date
1997
DOI
10.1016/S1059-0560(97)90013-7
Citation Information
Yiuman Tse and G. Geoffrey Booth. "Information Shares in International Oil Futures Markets" International Review of Economics & Finance Vol. 6 Iss. 1 (1997) p. 49 - 56
Available at: http://works.bepress.com/yiuman-tse/96/