Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence

► The futures performs price discovery better in both crude and gasoline markets. ► The gasoline contributes more to price discovery in its interaction with crude. ► Crude does risk transfer better than gasoline in their respective futures markets. ► The risk transfer between crude oil and gasoline markets does not function well. ► The recent financial crisis does not impact the price discovery and risk transfer.