Are Oil Prices Efficient?

S. Arshad, Syed Aun R. Rizvi, O. Haroon, Fahad Mehmood () and Q. Gong
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S. Arshad: F4E - Fusion for Energy Joint Undertaking [Barcelona]
Fahad Mehmood: Métis Lab EM Normandie - EM Normandie - École de Management de Normandie = EM Normandie Business School

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Abstract: We investigate whether crude oil markets are weak-form efficient during different economic cycles over multi-scales using multifractal detrended fluctuation analysis. Using crude oil prices from 1996 to 2018, our results for different sub-samples provide evidence that in the shorter horizon, the efficiency of prices tends to improve across each post-recession period of expansion. However, in the longer horizon, we do not observe such improvements in efficiency during recovery after recessions, especially during the global recovery after 2010. Overall, we find that the benchmark Brent crude oil prices are weak-form efficient, which implies that prices are largely unpredictable. We reevaluate our results using weekly data and rolling time windows. The findings remain robust to both tests and the use of eight oil price benchmarks. \textcopyright 2020 Elsevier B.V.

Keywords: Energy market efficiency; Long horizon; Multifractality; Oil prices; Short horizon (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

Published in Economic Modelling, 2021, 96, pp.362-370. ⟨10.1016/j.econmod.2020.03.018⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04317811

DOI: 10.1016/j.econmod.2020.03.018

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