 Evolving efficiency of spot and futures energy markets: A rolling sample approachKarim Ben Khediri and Lanouar Charfeddine Journal of Behavioral and Experimental Finance, 2015, vol. 6, issue C, 67-79 Abstract: 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. Keywords: Market efficiency; Energy market; Rolling approach; Variance Ratio; Run test; Modified R/S and DFA (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:6:y:2015:i:c:p:67-79 DOI: 10.1016/j.jbef.2015.03.006 Access Statistics for this article Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber More articles in Journal of Behavioral and Experimental Finance from Elsevier |
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