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Energy market inefficiency and baltic dry index: Evidence from quantile-on-quantile regression

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  • Cao, Xuxin
  • Ren, Xiaohang

Abstract

The Baltic Dry Index (BDI), a key indicator of shipping and trade, is closely linked to energy markets. This paper employs a multi-quantile framework to systematically examine the impact of BDI on energy market from an informational efficiency perspective. The empirical results show that moderate BDI enhances fossil energy market efficiency, with a more significant impact on the oil market, while its suppressive effect on efficiency is most pronounced in the clean energy market and high inefficiency oil markets. Moreover, when market inefficiency is low but the BDI spikes to extreme levels, inefficiency in all energy markets rises sharply, suggesting that freight shocks under extreme conditions materially undermine market efficiency. Overall, the findings offer a scientific basis for refining energy market regulation, improving investment decision-making, and mitigating systemic risk under BDI fluctuations.

Suggested Citation

  • Cao, Xuxin & Ren, Xiaohang, 2026. "Energy market inefficiency and baltic dry index: Evidence from quantile-on-quantile regression," Finance Research Letters, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:finlet:v:94:y:2026:i:c:s1544612326001807
    DOI: 10.1016/j.frl.2026.109649
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