| The petroleum futures market is a relatively new futures market and is proving to be very successful. In spite of this success, and because the market is new, little academic research has been done in this area. Other commodity and financial futures markets are well studied and the applications used in these studies can be applied to the petroleum futures market. This thesis adapts the efficient markets hypothesis and the time-varying risk premium and spot price forecastability theory of the basis, to the petroleum futures market. Recent advances in econometric theory are used in conjunction with these theories to examine the term structure of futures prices of heating oil, crude oil and unleaded gasoline--the most traded of the petroleum commodities.;To our knowledge, there is no other work available that tests these particular theories in the petroleum futures market, or that uses a similar econometric approach. Therefore, it is hoped that this thesis contributes original and meaningful work to a body of knowledge in need of analytical study. |
