Is efficiency of crude oil market affected by multifractality? Evidence from the WTI crude oil market

Rongbao Gu and Bing Zhang

Energy Economics, 2016, vol. 53, issue C, 151-158

Abstract: In this paper, we investigate the dynamics of relationship between efficiency and multifractality of WTI crude oil market. Based on the cross-correlation analysis and the nonlinear Granger causality analysis, we find that the inefficiency and multifractality of the WTI crude oil returns interact positively in a nonlinear mechanism. This suggests that the increase of multifractality degree will lead to the lower degree of market efficiency and vice versa. Our findings have some important implications for oil price forecasting and portfolio management.

Keywords: Crude oil market; Inefficiency; Multifractality; Nonlinear correlation; Nonlinear Granger causality test (search for similar items in EconPapers)
JEL-codes: E32 G14 Q43 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:53:y:2016:i:c:p:151-158

DOI: 10.1016/j.eneco.2014.10.014

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