Are oil prices efficient?

Shaista Arshad, Syed Aun R. Rizvi, Omair Haroon, Fahad Mehmood and Qiang Gong

Economic Modelling, 2021, vol. 96, issue C, 362-370

Abstract: We investigate whether crude oil markets are weak-form efficient during different economic cycles over multi-scales using multifractal detrended fluctuation analysis. Using crude oil prices from 1996 to 2018, our results for different sub-samples provide evidence that in the shorter horizon, the efficiency of prices tends to improve across each post-recession period of expansion. However, in the longer horizon, we do not observe such improvements in efficiency during recovery after recessions, especially during the global recovery after 2010. Overall, we find that the benchmark Brent crude oil prices are weak-form efficient, which implies that prices are largely unpredictable. We reevaluate our results using weekly data and rolling time windows. The findings remain robust to both tests and the use of eight oil price benchmarks.

Keywords: Energy market efficiency; Multifractality; Oil prices; Short horizon; Long horizon (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999319318887
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Are Oil Prices Efficient? (2021)
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:eee:ecmode:v:96:y:2021:i:c:p:362-370

DOI: 10.1016/j.econmod.2020.03.018

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().