RT Report
T1 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
A1 Lean, Hooi Hooi
A1 McAleer, Michael
A1 Wong, Wing-Keung
AB This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests show that spot dominates futures in the downside risk, while futures dominate spot in the upside profit. On the other hand, the SD findings suggest that spot dominates futures in downside risk, while futures dominate spot in upside profit. Risk-averse investors prefer investing in the spot index. Risk seekers are attracted to the futures index to maximize their expected utility but not expected wealth in the entire period, as well as for both the OPEC and Iraq War sub-periods. The SD findings show that there is no arbitrage opportunity between the spot and futures markets, and these markets are not rejected as being efficient.
YR 2013
FD 2013-08
LK https://hdl.handle.net/20.500.14352/41502
UL https://hdl.handle.net/20.500.14352/41502
LA eng
NO JEL: C14, G12, G15.The second author wishes to acknowledge the financial support of the Australian Research Council and the National Science Council, Taiwan. The third author would like to thank Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement, and to acknowledge the financial support from Hong Kong Baptist University and Research Grants Council (RGC) of Hong Kong.
DS Docta Complutense
RD 9 abr 2025