The efficiency of the crude oil markets: Evidence from variance ratio tests
This study examines the random walk hypothesis for the crude oil markets, using daily data over the period 1982-2008. The weak-form efficient market hypothesis for two crude oil markets (UK Brent and US West Texas Intermediate) is tested with non-parametric variance ratio tests developed by [Wright J.H., 2000. Alternative variance-ratio tests using ranks and signs. Journal of Business and Economic Statistics, 18, 1-9] and [Belaire-Franch J. and Contreras D., 2004. Ranks and signs-based multiple variance ratio tests. Working paper, Department of Economic Analysis, University of Valencia] as well as the wild-bootstrap variance ratio tests suggested by [Kim, J.H., 2006. Wild bootstrapping variance ratio tests. Economics Letters, 92, 38-43]. We find that the Brent crude oil market is weak-form efficiency while the WTI crude oil market seems to be inefficiency on the 1994-2008 sub-period, suggesting that the deregulation have not improved the efficiency on the WTI crude oil market in the sense of making returns less predictable.
|Date of creation:||2009|
|Publication status:||Published in Energy Policy, Elsevier, 2009, 37 (11), pp.4267-4272. <10.1016/j.enpol.2009.05.026>|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00771081|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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.:
- Chow, K. Victor & Denning, Karen C., 1993.
"A simple multiple variance ratio test,"
Journal of Econometrics,
Elsevier, vol. 58(3), pages 385-401, August.
- Tom Doan, "undated". "CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test," Statistical Software Components RTS00035, Boston College Department of Economics.
- Davidson, R. & Flachaire, E., 1999.
"The Wild Bootstrap, Tamed at Last,"
99a32, Universite Aix-Marseille III.
- Russell Davidson & Emmanuel Flachaire, 2001. "The wild bootstrap, tamed at last," LSE Research Online Documents on Economics 6560, London School of Economics and Political Science, LSE Library.
- Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
- Russell Davidson & Emmanuel Flachaire, 2008. "The wild bootstrap, tamed at last," Post-Print hal-00649250, HAL.
- Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
- Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," STICERD - Distributional Analysis Research Programme Papers 58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Andrew W. Lo, A. Craig MacKinlay, 1988.
"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
Review of Financial Studies,
Society for Financial Studies, vol. 1(1), pages 41-66.
- Tom Doan, "undated". "VRATIO: RATS procedure to implement variance ratio unit root test procedure," Statistical Software Components RTS00231, Boston College Department of Economics.
- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Kang, Sang Hoon & Kang, Sang-Mok & Yoon, Seong-Min, 2009. "Forecasting volatility of crude oil markets," Energy Economics, Elsevier, vol. 31(1), pages 119-125, January.
- Apostolos Serletis & Ricardo Rangel-Ruiz, 2007.
"Testing for Common Features in North American Energy Markets,"
World Scientific Book Chapters,
in: Quantitative And Empirical Analysis Of Energy Markets, chapter 14, pages 172-187
World Scientific Publishing Co. Pte. Ltd..
- Serletis, Apostolos & Rangel-Ruiz, Ricardo, 2004. "Testing for common features in North American energy markets," Energy Economics, Elsevier, vol. 26(3), pages 401-414, May.
- Serletis, Apostolos & Andreadis, Ioannis, 2004.
"Random fractal structures in North American energy markets,"
Elsevier, vol. 26(3), pages 389-399, May.
- Apostolos Serletis & Ioannis Andreadis, 2007. "Random Fractal Structures in North American Energy Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 18, pages 245-255 World Scientific Publishing Co. Pte. Ltd..
- Deo, Rohit S. & Richardson, Matthew, 2003. "On The Asymptotic Power Of The Variance Ratio Test," Econometric Theory, Cambridge University Press, vol. 19(02), pages 231-239, April.
- Svetlana Maslyuk & Russell Smyth, 2007.
"Unit Root Properties of Crude Oil Spot and Futures Prices,"
Monash Economics Working Papers
40-07, Monash University, Department of Economics.
- Maslyuk, Svetlana & Smyth, Russell, 2008. "Unit root properties of crude oil spot and futures prices," Energy Policy, Elsevier, vol. 36(7), pages 2591-2600, July.
- James M. Poterba & Lawrence H. Summers, 1987.
"Mean Reversion in Stock Prices: Evidence and Implications,"
NBER Working Papers
2343, National Bureau of Economic Research, Inc.
- Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
- Robert S. Pindyck, 1999.
"The Long-Run Evolutions of Energy Prices,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 2), pages 1-27.
- Tabak, Benjamin M. & Cajueiro, Daniel O., 2007. "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility," Energy Economics, Elsevier, vol. 29(1), pages 28-36, January.
- Narayan, Paresh Kumar & Narayan, Seema, 2007. "Modelling oil price volatility," Energy Policy, Elsevier, vol. 35(12), pages 6549-6553, December.
- 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.
- Wright, Jonathan H, 2000.
"Alternative Variance-Ratio Tests Using Ranks and Signs,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 18(1), pages 1-9, January.
- Tom Doan, "undated". "RATS programs to replicate Wright's Alternative Variance Ratio test results," Statistical Software Components RTZ00168, Boston College Department of Economics.
- Lagoarde-Segot, Thomas & Lucey, Brian M., 2008. "Efficiency in emerging markets--Evidence from the MENA region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 94-105, February.
- Andrew W. Lo & Craig A. MacKinlay, "undated".
"The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation,"
Rodney L. White Center for Financial Research Working Papers
28-87, Wharton School Rodney L. White Center for Financial Research.
- Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
- Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers 0066, National Bureau of Economic Research, Inc.
- Amélie Charles & Olivier Darné, 2009.
"Variance-Ratio Tests Of Random Walk: An Overview,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 23(3), pages 503-527, 07.
- Kim, Jae H., 2006. "Wild bootstrapping variance ratio tests," Economics Letters, Elsevier, vol. 92(1), pages 38-43, July.
- Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502.
- Alvarez-Ramirez, Jose & Cisneros, Myriam & Ibarra-Valdez, Carlos & Soriano, Angel, 2002. "Multifractal Hurst analysis of crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(3), pages 651-670.
- James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
- Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00771081. 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: (CCSD)
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.