EconPapers    
Economics at your fingertips  
 

Do crude oil price bubbles occur?

Khalid Khan, Chi-Wei Su, Muhammad Umar and Xiaoguang Yue ()

Resources Policy, 2021, vol. 71, issue C

Abstract: The Generalized Supremum Augmented Dickey-Fuller (GSADF) test is employed to conclude whether crude oil price (OP) experiences multiple bubbles. The technique has distinctions to detect multiple bubbles along with its beginning and ending point. Oil is extremely significant due to its strategic position and several factors influence OP. The outcomes display the existence of bubbles which imply that OP deviates three times. This indicates the beginning and termination of bubbles coincide with a particular crisis. The expansion of the world economy, the mismatch between demand-supply of oil, dollar depreciation, excess supply by Organization of the Petroleum Exporting Countries, shale oil production of the U.S., and low demand by the emerging economies are the leading factors of OP bubbles. The main contributions are the investigation of the OP bubble, its determinants and the different technique of GSADF to detect OP bubbles. Moreover, the greater economic certainty and political stability ensure a smooth supply of OP can lessen unexpected fluctuation. The symmetric information can minimize market speculation, improve market efficiency, help investors make reasonable investment decisions, and minimize potential price risks.

Keywords: Crude oil price bubble; Generalized supremum ADF; Geopolitical events (search for similar items in EconPapers)
JEL-codes: B41 E30 L61 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420720309661
Full text for ScienceDirect subscribers only

Related works:
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:jrpoli:v:71:y:2021:i:c:s0301420720309661

DOI: 10.1016/j.resourpol.2020.101936

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

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

 
Page updated 2022-09-21
Handle: RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720309661