Highly influential factors on oil prices in the Philippines

Abstract

We investigate the daily time series of diesel and unleaded prices of different oil companies in the Philippines. A high correlation in these prices shows that oil companies usually change prices at the same day. The extent of how a specific oil company follows the price change of another was measured by mutual information. Shell and Petron were determined to highly influence the amount of price change of other oil companies by calculating their transfer entropy in relation to the other companies. It was also seen that Caltex is usually the first company to change its diesel and unleaded prices by getting the differenced time series.