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Are Oil Prices Efficient?

Author

Listed:
  • S. Arshad

    (F4E - Fusion for Energy Joint Undertaking [Barcelona])

  • S.A.R. Rizvi
  • O. Haroon
  • Fahad Mehmood

    (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie = EM Normandie Business School)

  • Q. Gong

Abstract

We investigate whether crude oil markets are weak-form efficient during different economic cycles over multi-scales using multifractal detrended fluctuation analysis. Using crude oil prices from 1996 to 2018, our results for different sub-samples provide evidence that in the shorter horizon, the efficiency of prices tends to improve across each post-recession period of expansion. However, in the longer horizon, we do not observe such improvements in efficiency during recovery after recessions, especially during the global recovery after 2010. Overall, we find that the benchmark Brent crude oil prices are weak-form efficient, which implies that prices are largely unpredictable. We reevaluate our results using weekly data and rolling time windows. The findings remain robust to both tests and the use of eight oil price benchmarks. \textcopyright 2020 Elsevier B.V.

Suggested Citation

  • S. Arshad & S.A.R. Rizvi & O. Haroon & Fahad Mehmood & Q. Gong, 2021. "Are Oil Prices Efficient?," Post-Print hal-04317811, HAL.
    • Handle: RePEc:hal:journl:hal-04317811
    DOI: 10.1016/j.econmod.2020.03.018
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    Cited by:

    1. Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).
    2. Clement Moyo & Izunna Anyikwa & Andrew Phiri, 2023. "The Impact of Covid-19 on Oil Market Returns: Has Market Efficiency Being Violated?," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 118-127, January.
    3. Kökény, László & Kelemen, Hunor, 2025. "A háborús szankciós bejelentések hatásai a nyersolajárfolyamokra [The impact of sanction announcements on the prices of various crude oils in the shadow of war]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 20-49.
    4. Wang, Xiaoyang, 2022. "Efficient markets are more connected: An entropy-based analysis of the energy, industrial metal and financial markets," Energy Economics, Elsevier, vol. 111(C).
    5. Smith-Meyer, Erik & Haugom, Erik & Ewald, Christian Oliver, 2025. "Market efficiency across intra-daily sampling frequencies for Brent crude oil futures," International Review of Financial Analysis, Elsevier, vol. 105(C).
    6. Doğan, Buhari & Trabelsi, Nader & Tiwari, Aviral Kumar & Ghosh, Sudeshna, 2023. "Dynamic dependence and causality between crude oil, green bonds, commodities, geopolitical risks, and policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 36-62.
    7. Naeem, Muhammad Abubakr & Farid, Saqib & Yousaf, Imran & Kang, Sang Hoon, 2023. "Asymmetric efficiency in petroleum markets before and during COVID-19," Resources Policy, Elsevier, vol. 86(PA).

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