A pair-wise analysis of the law of one price: Evidence from the crude oil market

Monica Giulietti; Ana María Iregui; Jesús Otero

doi:10.1016/j.econlet.2015.02.002

A pair-wise analysis of the law of one price: Evidence from the crude oil market

Monica Giulietti
, Ana María Iregui
, Jesús Otero

Faculty of Economics

Research output: Contribution to Journal › Research Article › peer-review

10 Scopus citations

Abstract

This paper applies a pairwise approach to investigate the validity of the law of one price in the crude oil markets. Price differentials appear smaller between crude oil pairs with similar physical/chemical characteristics and also for pairs within OPEC.

Original language	English (US)
Pages (from-to)	39-41
Number of pages	3
Journal	Economics Letters
Volume	129
DOIs	https://doi.org/10.1016/j.econlet.2015.02.002
State	Published - Apr 1 2015

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2015.02.002

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title = "A pair-wise analysis of the law of one price: Evidence from the crude oil market",

abstract = "This paper applies a pairwise approach to investigate the validity of the law of one price in the crude oil markets. Price differentials appear smaller between crude oil pairs with similar physical/chemical characteristics and also for pairs within OPEC.",

author = "Monica Giulietti and Iregui, \{Ana Mar{\'i}a\} and Jes{\'u}s Otero",

note = "Funding Information: This paper was started while Jes{\'u}s Otero was a Visiting Fellow in the Department of Economics at the University of Warwick. He would like to thank the Universidad del Rosario for its financial assistance (Project FIUR-195). We also thank Jeremy Smith, participants at the Economic Modelling and Forecasting Seminar at Warwick Business School and an anonymous reviewer for useful comments and suggestions. The usual disclaimer applies. Publisher Copyright: {\textcopyright} 2015.",

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AU - Otero, Jesús

N1 - Funding Information: This paper was started while Jesús Otero was a Visiting Fellow in the Department of Economics at the University of Warwick. He would like to thank the Universidad del Rosario for its financial assistance (Project FIUR-195). We also thank Jeremy Smith, participants at the Economic Modelling and Forecasting Seminar at Warwick Business School and an anonymous reviewer for useful comments and suggestions. The usual disclaimer applies. Publisher Copyright: © 2015.

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N2 - This paper applies a pairwise approach to investigate the validity of the law of one price in the crude oil markets. Price differentials appear smaller between crude oil pairs with similar physical/chemical characteristics and also for pairs within OPEC.

AB - This paper applies a pairwise approach to investigate the validity of the law of one price in the crude oil markets. Price differentials appear smaller between crude oil pairs with similar physical/chemical characteristics and also for pairs within OPEC.

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M3 - Research Article

AN - SCOPUS:84923360910

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VL - 129

SP - 39

EP - 41

JO - Economics Letters

JF - Economics Letters

ER -

A pair-wise analysis of the law of one price: Evidence from the crude oil market

Abstract

All Science Journal Classification (ASJC) codes

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