Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Article Swipe
Related Concepts
Futures contract
Crude oil
Economics
Stock (firearms)
Econometrics
Financial economics
Closing (real estate)
Wavelet
Monetary economics
Petroleum engineering
Finance
Engineering
Computer science
Artificial intelligence
Mechanical engineering
Joseph G. McCarthy
,
Alexei G. Orlov
·
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.1201/9781003265399-19
· OA: W4304807363
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.1201/9781003265399-19
· OA: W4304807363
We use frequency-domain techniques, namely wavelets and cross-spectra, to examine the association between the daily prices of crude oil futures and daily S&P 500 futures closing prices over the past several decades. We investigate contemporaneous and lag–lead relationships in levels and returns. It is our belief that the wavelet and cross-spectral analyses employed in this paper offer insights regarding the relationship between oil prices and stock returns that are not apparent from a conventional time-domain framework. Our findings cast doubt on the purported negative relationship between oil and the U.S. stock market. Our analysis suggests that oil prices lead oil volume, and S&P 500 trading volume leads S&P 500 prices.
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