IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v57y2025i53p9019-9033.html

World energy futures market efficiency and its determinants; evidence from white noise test based on block-wise wild bootstrap approach

Author

Listed:
  • Ashutosh Dash
  • Sangram Keshari Jena
  • Aviral Kumar Tiwari
  • Satish Kumar

Abstract

The study examines the time-varying efficiency of nine energy futures traded across different exchanges with varied trade settlement methods and pricing currency using the novel white noise test based on block-wsie wild bootstrap approach. The advantage of using this approach is that it relaxes the assumption of serial independence and the martingale difference sequence. Time-varying efficiency is observed for all nine energy futures consistent with the Adoptive Market Hypothesis (AMH). The three most (least) efficient energy futures based on efficiency ratio are Coal, Gasoline and NaturalGas (WTI, Brent and OmanCrude). Quantile regression analysis shows that the higher the level of illiquidity furthers the level of efficiency towards inefficiency (high level of efficiency) in the case of a less (more) efficient market. A mixed impact of volatility is observed across energy futures. No differential impact is found due to exchange, method of settlement and pricing currency. The robustness of the results is investigated, policy implications are discussed, and further research is recommended.

Suggested Citation

  • Ashutosh Dash & Sangram Keshari Jena & Aviral Kumar Tiwari & Satish Kumar, 2025. "World energy futures market efficiency and its determinants; evidence from white noise test based on block-wise wild bootstrap approach," Applied Economics, Taylor & Francis Journals, vol. 57(53), pages 9019-9033, November.
    • Handle: RePEc:taf:applec:v:57:y:2025:i:53:p:9019-9033
    DOI: 10.1080/00036846.2024.2405660
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2024.2405660
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2024.2405660?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:57:y:2025:i:53:p:9019-9033. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.