Examining Energy Futures Market Efficiency Under Multiple Regime Shifts

Clicks: 371
ID: 92954
2017
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Ranked #9 of 22 articles by views in international journal of energy economics and policy

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Abstract

This study examines the West Texas Intermediate crude oil (WTI), Europe Brent crude oil (Brent), heating oil no. 2, and Henry Hub natural gas futures markets’ efficiency following Fama’s (1970) weak-form efficiency hypothesis, using spot and futures prices at 1, 2, 3, and 4 months maturity based on the tests with unknown multiple regime shifts. The results show that it is important to consider the multiple regime shifts when determining whether energy futures markets are efficient. We find that WTI and Brent futures markets are not efficient, whereas natural gas and heating oil futures markets are efficient. Additionally, the findings also shed light on discussions about the stationary properties of energy commodities and whether spot and futures prices are cointegrated. In particular, this study presents new evidence based on the unit root and cointegration tests with multiple structural breaks.

Keywords: Energy commodity, Futures market efficiency, Multiple structural  breaks

JEL Classifications: G14, G15, Q40

Reference Key
buberkoku2017examininginternational Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Buberkoku, Onder;
Journal international journal of energy economics and policy
Year 2017
DOI
DOI not found
URL
https://www.econjournals.com/index.php/ijeep/article/view/5578
Keywords
Technology environmental sciences economics as a science finance social sciences economic theory. demography energy industries. energy policy. fuel trade industrial engineering. management engineering applied mathematics. quantitative methods public finance

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