An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent

Simple item page
dc.contributor.advisorHolman, Glen
dc.contributor.authorAwasom, Nde-Asaa
dc.date.accessioned2020-02-28T14:03:25Z
dc.date.available2020-02-28T14:03:25Z
dc.date.issued2019
dc.date.updated2020-02-28T11:04:07Z
dc.description.abstractThis study aims at analysing how African oil benchmarks within the OPEC Reference Basket relative to the WTI and Brent benchmarks which are considered as global pricing benchmarks for the period starting from 1997-2008. The Nigerian Bonny Light and Algerian Saharan blend were the two benchmarks used for this study. A time series analysis was applied to the weekly price data series set and with the aid of a breakpoint unit root test and Cusum of Squared test to determine if there was a change in the persistence of the spread of each African benchmark relative to the global benchmarks. The results for from the unit root test indicated the presence of a structural break in the price spread in 2004 for the Bonny Light benchmark and in 2005 for the Saharan blend relative to both global benchmarks. The Cusum Squared test for the four benchmark pairings indicated a change in persistence of the price spreads. The null hypothesis was rejected for the alternative hypothesis of the price spread process having a relatively high persistence value after a while. The Cusum Test results showed a change in persistence for both African benchmarks relative to the WTI benchmark and no change in persistence relative to the Brent benchmark. The results of from the Time series analysis indicated the competitive nature of African benchmarks relative to global benchmarks and this could benefit exporting countries by virtue of setting up derivative markets. The derivative markets would allow for the trade of benchmark spreads, futures contracts, options and other financial instruments for African oil producers.
dc.identifier.apacitationAwasom, N. (2019). <i>An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent</i>. (). ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/31406en_ZA
dc.identifier.chicagocitationAwasom, Nde-Asaa. <i>"An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent."</i> ., ,Faculty of Commerce ,Department of Finance and Tax, 2019. http://hdl.handle.net/11427/31406en_ZA
dc.identifier.citationAwasom, N. 2019. An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent. . ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/31406en_ZA
dc.identifier.risTY - Thesis / Dissertation AU - Awasom, Nde-Asaa AB - This study aims at analysing how African oil benchmarks within the OPEC Reference Basket relative to the WTI and Brent benchmarks which are considered as global pricing benchmarks for the period starting from 1997-2008. The Nigerian Bonny Light and Algerian Saharan blend were the two benchmarks used for this study. A time series analysis was applied to the weekly price data series set and with the aid of a breakpoint unit root test and Cusum of Squared test to determine if there was a change in the persistence of the spread of each African benchmark relative to the global benchmarks. The results for from the unit root test indicated the presence of a structural break in the price spread in 2004 for the Bonny Light benchmark and in 2005 for the Saharan blend relative to both global benchmarks. The Cusum Squared test for the four benchmark pairings indicated a change in persistence of the price spreads. The null hypothesis was rejected for the alternative hypothesis of the price spread process having a relatively high persistence value after a while. The Cusum Test results showed a change in persistence for both African benchmarks relative to the WTI benchmark and no change in persistence relative to the Brent benchmark. The results of from the Time series analysis indicated the competitive nature of African benchmarks relative to global benchmarks and this could benefit exporting countries by virtue of setting up derivative markets. The derivative markets would allow for the trade of benchmark spreads, futures contracts, options and other financial instruments for African oil producers. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Crude oil KW - Brent KW - WTI KW - Bonny Light KW - Saharan Blend KW - Breakpoint Unit Root Test KW - Cusum Squares Test KW - Price Spread KW - Cusum Test LK - https://open.uct.ac.za PY - 2019 T1 - An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent TI - An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent UR - http://hdl.handle.net/11427/31406 ER -en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/31406
dc.identifier.vancouvercitationAwasom N. An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent. []. ,Faculty of Commerce ,Department of Finance and Tax, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/31406en_ZA
dc.language.rfc3066eng
dc.publisher.departmentDepartment of Finance and Tax
dc.publisher.facultyFaculty of Commerce
dc.subjectCrude oil
dc.subjectBrent
dc.subjectWTI
dc.subjectBonny Light
dc.subjectSaharan Blend
dc.subjectBreakpoint Unit Root Test
dc.subjectCusum Squares Test
dc.subjectPrice Spread
dc.subjectCusum Test
dc.titleAn analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMCom
Files
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
0 B
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Masters