Informational Efficiency in Futures Markets for Crude Oil
This paper develops a methodology to test whether recent developments on world oil markets are in line with the hypothesis of efficient markets. We treat the joint hypothesis problem as stated by Fama (1970), Fama (1991), that market efficiency can only be assessed in conjunction with a price model of market equilibrium. Data on spot and futures prices for Brent crude oil in the period 2002â€ 2008 are used in combination with a multi factor model to investigate whether futures prices are efficient forecasts of future spot prices. The hypothesis of market efficiency is assessed by comparing the observed developments of crude oil spot prices to the exâ€ ante expected distributions of spot prices using the Rosenblatt transform. For the Brent crude oil futures market, the results are in line with the hypothesis of market efficiency in the shortâ€ term but during our sample period the hypothesis is refuted when forecast horizons of one year are considered. Our findings suggest that it can lead to rather wrong investment decisions when relying on longerâ€ term crude oil futures prices and the information contained therein.
|Date of creation:||Mar 2011|
|Date of revision:||Jan 2012|
|Contact details of provider:|| Postal: Universitätsstrasse 12, 45117 Essen|
Phone: 0201 - 183 3633
Fax: 0201 - 183 2292
Web page: http://www.ewl.wiwi.uni-due.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
When requesting a correction, please mention this item's handle: RePEc:dui:wpaper:1103. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Andreas Fritz)
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.