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Cointegrated energy : can energy company shares be used to create error correction model forecasts for the oil price? : if so, are there certain sectors within the industry that produce better forecasts?

Schøyen, Ole Husebø
Master thesis
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URI
http://hdl.handle.net/11250/167933
Date
2006
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  • Master Thesis [4657]
Abstract
Oil company shares are closely related to the oil price. This paper examines if this relationship

is strong enough to conclude that the historical spot prices for oil are cointegrated with

individual oil company share price time series, arguing that investors, who buy shares in

companies whose business is related to the exploration, production or marketing of oil and oil

based products, are forward looking. In turn this implies that the share prices embody

information about expected future oil prices, much like oil futures. The paper will also

attempt to explore, if there are certain sectors within the oil industry that are more

appropriate to use as forecasting tools for oil. The paper answers whether there is a

cointegrated relationship between oil shares and the spot price for crude, but fails to answer

the second part because no such cointegrated relationship seems to exist.

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