New evidence on crude oil market efficiency

Liang Hu and Yoon‐Jin Lee

Economic Inquiry, 2024, vol. 62, issue 2, 892-916

Abstract: This paper examines the Efficient Market Hypothesis (EMH) in crude oil amid the “financialization of commodity markets” and the “fracking revolution”. It applies the generalized spectral derivative test (Hong and Lee 2005) on both West Texas Intermediate and Brent spot and futures markets, alongside a stochastic dominance test (Linton et al., 2005) to investigate arbitrage opportunities across markets and benchmarks. The findings indicate that financialization has made each market more efficient but also created more arbitrage opportunities in spot‐futures markets at both benchmarks. The fracking revolution has fragmented oil markets but had little impact on EMH in individual markets or across markets.

Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/ecin.13189

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:ecinqu:v:62:y:2024:i:2:p:892-916

Ordering information: This journal article can be ordered from
https://ordering.onl ... s.aspx?ref=1465-7295

Access Statistics for this article

Economic Inquiry is currently edited by Tim Salmon

More articles in Economic Inquiry from Western Economic Association International Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().