ARTICLE IN PRESS Energy Economics xx (2003) xxx–xxx 0140-9883/03/$ - see front matter  2003 Elsevier Science B.V. All rights reserved. PII: S0140-9883 Ž 03 . 00046-X The impact of the Asian crisis on the behavior of US and international petroleum prices Shawkat Hammoudeh*, Huimin Li Department of Economics and International Business, Bennett S. LeBow College of Business, Drexel University, 3141 Chestnut Street, Philadelphia, PA 19104-2875, USA Abstract The strong long-run relationships among the petroleum spot and futures prices have weakened after the Asian crisis as manifested in less co-integration among these prices. In the post-crisis period, the directional causal relationships have either changed the direction as in the case of WTI crude or weakened somewhat as in the case of NYMEX gasoline and heating oil. These changes should complicate the job of those who try to benefit from predicting the movements of petroleum prices after the Asian crisis. In the international gasoline spot markets, movements in the NYMEX gasoline price are found to precede movements in the Gulf Coast and Rotterdam gasoline prices in the pre-crisis period, and the movements of these prices and those of the Singapore price in the post-crisis period, implying that the NYMEX price is the gasoline leader in both periods. The MondayyFriday day-of- the-week effect is only significant for the NYMEX gasoline 1-month and 3-month futures prices and the Gulf Coast gasoline spot. Economic and political shocks related to the spot prices have greater impacts on all prices than shocks related to the futures prices, regardless of the petroleum type and the time period.  2003 Elsevier Science B.V. All rights reserved. JEL classifications: C22; Q49 Keywords: Petroleum markets; Asian crisis; Co-integration; Causality 1. Introduction A wave of speculative attacks rocked the South Asian economies after Thailand stopped defending its currency’s fixed US dollar value on July 2, 1997. The Asian *Corresponding author. Tel.: q1-215-895-6673; fax: q1-215-895-6975. E-mail address: hammousm@drexel.edu (S. Hammoudeh).