The Efficiency Analysis of Crude Oil Spot and Futures Prices: A Moving Window Approach

Miroslava Zavadska (), Lucía Morales () and Joseph Coughlan ()
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Miroslava Zavadska: Dublin Institute of Technology
Lucía Morales: Dublin Institute of Technology
Joseph Coughlan: Maynooth University

No 5908091, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: This paper explores the efficiency of oil price behaviour during times of crisis using traditional variance-ratio tests in combination with more recent innovations such as wild bootstrapping and simulation methods. Three main oil indices were chosen: Brent, WTI and Dubai crude, in order to consider efficiency across the different oil price regimes during times of crisis. Daily data from January 1986 to September 2016 was used, and moving windows of 2, 5 and 10 years were integrated into the methodologies applied. The results were mixed across the data series and the windows showing that the different prices were not efficient over the same periods. This has implications for how we view price efficiency in oil markets and consequent implications for market regulations and investor decision making during times of crisis.

Keywords: Energy; Crude Oil Markets; Spot and Futures Prices; Shock periods; Variance Ratio Tests; Efficiency; Decision making. (search for similar items in EconPapers)
JEL-codes: E37 G01 Q47 (search for similar items in EconPapers)
Pages: 1 page
Date: 2017-10
New Economics Papers: this item is included in nep-ene
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Published in Proceedings of the Proceedings of the 34th International Academic Conference, Florence, Oct 2017, pages 347-347

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Persistent link: https://EconPapers.repec.org/RePEc:sek:iacpro:5908091

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