کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
931706 1474609 2015 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Evolving efficiency of spot and futures energy markets: A rolling sample approach
ترجمه فارسی عنوان
کارآیی تکامل بازارهای نقطه ای و آتی: روش نمونه گیری نورد
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
چکیده انگلیسی

In this paper, we examine the weak-form efficient market hypothesis of energy markets by testing the random walk behavior of spot and futures prices. We contribute to the financial market efficiency literature by investigating the time varying markets efficiency using a “rolling sample” approach instead of an analysis of different time periods. For this end, we use the wild bootstrap Variance Ratio (VR) tests and the Detrended Fluctuation Analysis (DFA) technique. Empirical results show strong evidence of time varying markets efficiency with rapid mean reversion towards markets efficiency. The evolving efficiency of spot and futures markets depends on the prevailing economic and political conditions. Among the energy markets examined in this study, the spot and futures crude oil and the RBOB regular gasoline markets show the highest degree of market efficiency, while spot and future propane market is at the end of the ranking.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Behavioral and Experimental Finance - Volume 6, June 2015, Pages 67–79
نویسندگان
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