Informational Efficiency of World Oil Markets: One Great Pool, but with Varying Depth

Marc Gronwald, Sania Wadud () and Kingsley Dogah

No 11017, CESifo Working Paper Series from CESifo

Abstract: This paper investigates the informational efficiency of global crude oil markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed oil price behavior from the Random Walk benchmark, representing an efficient market. The main findings of the analysis are as follows: firstly, the degree of crude oil market inefficiency demonstrates temporal variations. Secondly, there are marked increases in the degree of inefficiency during extreme episodes, such as the price downturns experienced in 2008, 2014, and early 2020. Thirdly, the degree of inefficiency exhibits substantial variations across regional crude oil markets before 2006 but converges thereafter. Since this discovery is grounded in the observation of more similar price behavior across markets post-2006, the paper establishes a connection between the literature on oil market integration and that focusing on the informational efficiency of oil prices.

Keywords: world oil markets; efficient market hypothesis; market integration; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 E30 G14 Q02 Q31 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp11017.pdf (application/pdf)

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:ces:ceswps:_11017

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().