EconPapers    
Economics at your fingertips  
 

The efficiency of the crude oil markets: Evidence from variance ratio tests

Amelie Charles and Olivier Darné

Energy Policy, 2009, vol. 37, issue 11, 4267-4272

Abstract: This study examines the random walk hypothesis for the crude oil markets, using daily data over the period 1982-2008. The weak-form efficient market hypothesis for two crude oil markets (UK Brent and US West Texas Intermediate) is tested with non-parametric variance ratio tests developed by [Wright J.H., 2000. Alternative variance-ratio tests using ranks and signs. Journal of Business and Economic Statistics, 18, 1-9] and [Belaire-Franch J. and Contreras D., 2004. Ranks and signs-based multiple variance ratio tests. Working paper, Department of Economic Analysis, University of Valencia] as well as the wild-bootstrap variance ratio tests suggested by [Kim, J.H., 2006. Wild bootstrapping variance ratio tests. Economics Letters, 92, 38-43]. We find that the Brent crude oil market is weak-form efficiency while the WTI crude oil market seems to be inefficiency on the 1994-2008 sub-period, suggesting that the deregulation have not improved the efficiency on the WTI crude oil market in the sense of making returns less predictable.

Keywords: Crude; oil; markets; Market; efficiency; Variance; ratio; test (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301-4215(09)00380-2
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The efficiency of the crude oil markets: Evidence from variance ratio tests (2009) Downloads
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:enepol:v:37:y:2009:i:11:p:4267-4272

Access Statistics for this article

Energy Policy is currently edited by N. France

More articles in Energy Policy from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-09-14
Handle: RePEc:eee:enepol:v:37:y:2009:i:11:p:4267-4272