Efficient market hypothesis in the international oil price fluctuation: based on the MF-DFA model

Yufeng Chen and Jian Yu ()

International Journal of Global Energy Issues, 2011, vol. 35, issue 2/3/4, 275-286

Abstract: In light of the continual substantial divergences between mainstream economics and econophysics in regard to the market efficiency of international oil price volatility, a model based on multifractal detrended fluctuation analysis is built up to conduct an in-depth research into the validity and predictability of the international oil market, using weekly data of spot price indexes in the three international crude oil markets and reflecting the auto-correlation of oil price and speculation of external market. Our empirical results reveal that: (1) statistically, all previous changes in the international oil price are not completely independent; (2) an anti-persistence correlation and memory begins to characterise the international oil market under the influence of a large-scale capital speculation in financial market; (3) the international oil market presents a long-range auto-correlation and memory feature of finance market under the internal and external effects of auto-correlation and capital speculation respectively.

Keywords: oil price fluctuation; efficient market hypothesis; predictability; MF-DFA model; auto-correlation; capital speculation; global energy; international oil prices; price volatility; crude oil markets; multifractal detrended fluctuation analysis. (search for similar items in EconPapers)
Date: 2011
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