Energy prices, multiple structural breaks, and efficient market hypothesis
AbstractThis paper investigates the efficient market hypothesis using total energy price and four kinds of various disaggregated energy prices - coal, oil, gas, and electricity - for OECD countries over the period 1978-2006. We employ a highly flexible panel data stationarity test of Carrion-i-Silvestre et al. [Carrion-i-Silvestre JL, Del Barrio-Castro T, Lopez-Bazo E. Breaking the panels: an application to GDP per capita. J Econometrics 2005;8:159-75], which incorporates multiple shifts in level and slope, thereby controlling for cross-sectional dependence through bootstrap methods. Overwhelming evidence in favor of the broken stationarity hypothesis is found, implying that energy prices are not characterized by an efficient market. Thus, it shows the presence of profitable arbitrage opportunities among energy prices. The estimated breaks are meaningful and coincide with the most critical events which affected the energy prices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Applied Energy.
Volume (Year): 86 (2009)
Issue (Month): 4 (April)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/405891/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
- Presno, María José & Landajo, Manuel & Fernández, Paula, 2012. "Non-renewable resource prices. A robust evaluation from the stationarity perspective," MPRA Paper 42523, University Library of Munich, Germany.
- Lee, Chien-Chiang & Chiu, Yi-Bin, 2011. "Electricity demand elasticities and temperature: Evidence from panel smooth transition regression with instrumental variable approach," Energy Economics, Elsevier, vol. 33(5), pages 896-902, September.
- Martina, Esteban & Rodriguez, Eduardo & Escarela-Perez, Rafael & Alvarez-Ramirez, Jose, 2011. "Multiscale entropy analysis of crude oil price dynamics," Energy Economics, Elsevier, vol. 33(5), pages 936-947, September.
- Apergis, Nicholas & Tsoumas, Chris, 2011. "Integration properties of disaggregated solar, geothermal and biomass energy consumption in the U.S," Energy Policy, Elsevier, vol. 39(9), pages 5474-5479, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.