On 7th August, 2015, Cun-Bing Zhang, Professor of Shih Chien University, visited CEEP-BIT. He gave a talk about “Do oil spot and futures prices move together?” and received a warm welcome. This seminar was hosted by Dr.Yu Hao. Prof. Yi-Ming Wei, Director of CEEP-BIT, Prof. Bao-Jun Tang, Deputy Director of CEEP-BIT, and other teachers along with students from CEEP-BIT attended this seminar.

　　Prof. Cun-Bing Zhang is the Professor of Shih Chien University, and his key research focuses on Energy Economy, Econometrics, Industrial Economics, Public Economics and Political Economy. This report mainly involved the paper entitled “Do oil spot and futures prices move together?”

　　According to the report, this paper investigates the time-varying correlation and the causal relationship between crude oil spot and futures prices using a newly developed approach---wavelet coherency analysis in time–frequency domain. First, the paper finds evidence of a long-run cointegration relationship between oil spot and futures prices. Moreover, the short-run causality is more significant in shorter maturity pairs versus longer maturity pairs in the vector error correction framework. Second, the results from wavelet coherency analysis show significant dynamic correlations between variables in the time–frequency domain. Third, the illustration of the phase-difference series around zero suggests that spot and futures prices contribute to the dynamics of the long-run equilibrium. Fourth and finally, this paper provides reasons for the structural changes in oil prices and also recommend investment strategies corresponding to risk diversification. Future studies focusing on the behavior of oil prices should consider the characteristics of the time–frequency space and lead–lag dynamic relationships.

　　After this seminar, teachers and students from CEEP-BIT had a heated discussion with Prof. Cun-Bing Zhang, learning more about the data and methodology he used.