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Bubbles in Crude Oil and Commodity Energy Index: New Evidence

Author

Listed:
  • Christos Floros

    (Department of Accounting and Finance, Laboratory of Accounting and Financial Management (LAFIM), Hellenic Mediterranean University, 71004 Heraklion, Greece)

  • Georgios Galyfianakis

    (Department of Accounting and Finance, Laboratory of Accounting and Financial Management (LAFIM), Hellenic Mediterranean University, 71004 Heraklion, Greece)

Abstract

This paper considers a long dataset of both Brent and West Texas Intermediate (WTI) crude oil prices and the Commodity (fuel) energy index (CEI) to identify possible bubbles. Using the Supremum Augmented Dickey–Fuller (SADF) test, we compare results from WTI and Brent with CEI. We prove that the CEI follows Brent crude oil (they provide similar bubble periods) and that Brent is recognized as a crude oil benchmark. Financial managers should incorporate it into their analysis and forecasts. The findings are strongly recommended to energy policymakers and investors.

Suggested Citation

  • Christos Floros & Georgios Galyfianakis, 2020. "Bubbles in Crude Oil and Commodity Energy Index: New Evidence," Energies, MDPI, vol. 13(24), pages 1-11, December.
    • Handle: RePEc:gam:jeners:v:13:y:2020:i:24:p:6648-:d:463170
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    2. Chen, Weijia & Huang, Shupei & An, Haizhong, 2023. "Revealing dynamic intrinsic temporal and spatial scale characteristics of oil price volatility in bubble and non-bubble periods," Finance Research Letters, Elsevier, vol. 55(PA).
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