IDEAS home Printed from https://ideas.repec.org/a/gam/jcommo/v4y2025i2p4-d1617157.html
   My bibliography  Save this article

Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events

Author

Listed:
  • Salim Lahmiri

    (Supply Chain and Business Technology Management Department, John Molson School of Business, Concordia University, Montreal, QC H3H 0A1, Canada
    Chaire Innovation et Économie Numérique, ESCA École de Management, Casablanca 20250, Morocco)

Abstract

This study analyzes the market efficiency of crude oil markets, namely Brent and West Texas Intermediate (WTI), during three different periods: pre-COVID-19, during the COVID-19 pandemic, and during the ongoing Russia–Ukraine military conflict. To evaluate the efficiency of crude oil markets, wavelet entropy is computed from price, return, and volatility series. Our empirical results show that WTI prices are predictable during the Russia–Ukraine military conflict, but Brent prices are difficult to predict during the same period. The prices of Brent and WTI were difficult to predict during the COVID-19 pandemic. Returns in Brent and WTI are more difficult to predict during the military conflict than they were during the pandemic. Finally, volatility in Brent and WTI carried more information during the pandemic compared to the military conflict. Also, volatility series for Brent and WTI are difficult to predict during the military conflict. These findings offer insightful information for investors, traders, and policy makers in relation to crude oil energy under various extreme market conditions.

Suggested Citation

  • Salim Lahmiri, 2025. "Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events," Commodities, MDPI, vol. 4(2), pages 1-10, March.
    • Handle: RePEc:gam:jcommo:v:4:y:2025:i:2:p:4-:d:1617157
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2813-2432/4/2/4/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2813-2432/4/2/4/
    Download Restriction: no
    ---><---

    Corrections

    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:gam:jcommo:v:4:y:2025:i:2:p:4-:d:1617157. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.