IDEAS home Printed from
   My bibliography  Save this paper

Informational Efficiency in Futures Markets for Crude Oil


  • Andreas Fritz


  • Christoph Weber

    () (Chair for Management Sciences and Energy Economics, University of Duisburg-Essen)


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 2002†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 ex†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 short†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 longer†term crude oil futures prices and the information contained therein.

Suggested Citation

  • Andreas Fritz & Christoph Weber, 2011. "Informational Efficiency in Futures Markets for Crude Oil," EWL Working Papers 1103, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Jan 2012.
  • Handle: RePEc:dui:wpaper:1103

    Download full text from publisher

    File URL:
    File Function: Revised Version, 2012
    Download Restriction: no

    References listed on IDEAS

    1. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Multi factor model; Informational efficiency; Oil market;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    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: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). General contact details of provider: .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.