Bubbles in Crude Oil and Commodity Energy Index: New Evidence

Christos Floros and Georgios Galyfianakis
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Georgios Galyfianakis: Department of Accounting and Finance, Laboratory of Accounting and Financial Management (LAFIM), Hellenic Mediterranean University, 71004 Heraklion, Greece

Energies, 2020, vol. 13, issue 24, 1-11

Abstract: This paper considers a long dataset of both Brent and West Texas Intermediate (WTI) crude oil prices and the Commodity (fuel) energy index (CEI) to identify possible bubbles. Using the Supremum Augmented Dickey–Fuller (SADF) test, we compare results from WTI and Brent with CEI. We prove that the CEI follows Brent crude oil (they provide similar bubble periods) and that Brent is recognized as a crude oil benchmark. Financial managers should incorporate it into their analysis and forecasts. The findings are strongly recommended to energy policymakers and investors.

Keywords: bubbles; energy prices; SADF; crude oil; brent; WTI; CEI (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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