Int. J. Financial Markets and Derivatives, Vol. 5, No. 1, 2016 23 Copyright © 2016 Inderscience Enterprises Ltd. Price discovery and risk transfer in the Brent crude oil futures market Saada Abba Abdullahi* Department of Agricultural Economics and Extension, Kano University of Science and Technology Wudil, P.M.B 3244, Kano, Nigeria Email: saadahabba@yahoo.com *Corresponding author Zahid Muhammad College of Business Administration, University of Dammam, P.O. Box 1982, Dammam, Saudi Arabia Email: zmuhammad@uod.edu.sa Abstract: This paper examines price discovery and risk transfer functions in the Brent crude oil futures market. The results show that the spot and futures prices play a significant role in price discovery but the contribution of futures price are higher at different maturities. Second, the results of cross-contract analysis indicate that futures contract with longer maturity lead price discovery in the oil market. Finally, the crude oil futures price does not perform the risk transfer function in interaction with the spot price in various maturities and between different futures contracts. The findings have important implications for market participants and policy makers. Keywords: crude oil; futures market; price discovery; risk transfer. Reference to this paper should be made as follows: Abdullahi, S.A. and Muhammad, Z. (2016) ‘Price discovery and risk transfer in the Brent crude oil futures market’, Int. J. Financial Markets and Derivatives, Vol. 5, No. 1, pp.23–35. Biographical notes: Saada Abba Abdullahi is a Senior Lecturer in the Department of Agricultural Economics and Extension at the Kano University of Science and Technology, Wudil, Nigeria. She received her PhD in Energy Economics from the University of Abertay Dundee, UK in 2012. Her research interests include energy economics, agricultural and international economics. Zahid Muhammad is an Assistant Professor in the College of Business Administration, University of Dammam, Saudi Arabia. He received his PhD in Financial Economics from the University of Birmingham, UK. He received his Master’s in Management from the London School of Economics and Political Science, UK. Before joining Dammam, he taught econometrics and finance at the University of Abertay Dundee, UK. His research interest includes financial econometrics, investment and risk in the energy sector, and corporate finance.