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The Efficiency Analysis of Crude Oil Spot and Futures Prices: A Moving Window Approach

Author

Listed:
  • Miroslava Zavadska

    (Dublin Institute of Technology)

  • Lucía Morales

    (Dublin Institute of Technology)

  • Joseph Coughlan

    (Maynooth University)

Abstract

This paper explores the efficiency of oil price behaviour during times of crisis using traditional variance-ratio tests in combination with more recent innovations such as wild bootstrapping and simulation methods. Three main oil indices were chosen: Brent, WTI and Dubai crude, in order to consider efficiency across the different oil price regimes during times of crisis. Daily data from January 1986 to September 2016 was used, and moving windows of 2, 5 and 10 years were integrated into the methodologies applied. The results were mixed across the data series and the windows showing that the different prices were not efficient over the same periods. This has implications for how we view price efficiency in oil markets and consequent implications for market regulations and investor decision making during times of crisis.

Suggested Citation

  • Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2017. "The Efficiency Analysis of Crude Oil Spot and Futures Prices: A Moving Window Approach," Proceedings of International Academic Conferences 5908091, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:5908091
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    File URL: https://iises.net/proceedings/34th-international-academic-conference-florence/table-of-content/detail?cid=59&iid=063&rid=8091
    File Function: First version, 2017
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    More about this item

    Keywords

    Energy; Crude Oil Markets; Spot and Futures Prices; Shock periods; Variance Ratio Tests; Efficiency; Decision making.;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G01 - Financial Economics - - General - - - Financial Crises
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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