Market efficiency across intra-daily sampling frequencies for Brent crude oil futures

Erik Smith-Meyer, Erik Haugom and Christian Oliver Ewald

International Review of Financial Analysis, 2025, vol. 105, issue C

Abstract: We study market efficiency for high-frequency Brent Crude oil futures prices across intra-daily sampling frequencies ranging from one minute to two hours using a sample period from 2006 to 2021. The efficiency dynamics of Brent crude oil futures prices are scrutinized over time using rolling estimation windows. We also propose to study intra-daily market efficiency using a signature plot across sampling frequency. Our results show substantial differences in market efficiency at the intra-daily level. At very high sampling frequencies (less than 10 min), the market is on average inefficient. For lower sampling frequencies, efficiency in Brent oil futures generally improves over the examined sample period.

Keywords: Intercontinental Exchange (ICE); Market efficiency; Sample frequency; Adjusted market inefficiency magnitude (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:105:y:2025:i:c:s1057521925005113

DOI: 10.1016/j.irfa.2025.104424

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