عرض بسيط للتسجيلة

المؤلفKhediri, Karim Ben
المؤلفCharfeddine, Lanouar
تاريخ الإتاحة2022-12-27T08:14:14Z
تاريخ النشر2015
اسم المنشورJournal of Behavioral and Experimental Finance
المصدرScopus
معرّف المصادر الموحدhttp://dx.doi.org/10.1016/j.jbef.2015.03.006
معرّف المصادر الموحدhttp://hdl.handle.net/10576/37628
الملخصIn this paper, we examine the weak-form efficient market hypothesis of energy markets by testing the random walk behavior of spot and futures prices. We contribute to the financial market efficiency literature by investigating the time varying markets efficiency using a "rolling sample" approach instead of an analysis of different time periods. For this end, we use the wild bootstrap Variance Ratio (VR) tests and the Detrended Fluctuation Analysis (DFA) technique. Empirical results show strong evidence of time varying markets efficiency with rapid mean reversion towards markets efficiency. The evolving efficiency of spot and futures markets depends on the prevailing economic and political conditions. Among the energy markets examined in this study, the spot and futures crude oil and the RBOB regular gasoline markets show the highest degree of market efficiency, while spot and future propane market is at the end of the ranking. 2015 Elsevier B.V.
اللغةen
الناشرElsevier
الموضوعEnergy market
Market efficiency
Modified R/S and DFA
Rolling approach
Run test
Variance Ratio
العنوانEvolving efficiency of spot and futures energy markets: A rolling sample approach
النوعArticle
الصفحات67-79
رقم المجلد6
dc.accessType Abstract Only


الملفات في هذه التسجيلة

الملفاتالحجمالصيغةالعرض

لا توجد ملفات لها صلة بهذه التسجيلة.

هذه التسجيلة تظهر في المجموعات التالية

عرض بسيط للتسجيلة