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Energy prices, multiple structural breaks, and efficient market hypothesis

Citations

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Cited by:

  1. Chi Zhang & Zhengning Pu & Qin Zhou, 2018. "Sustainable Energy Consumption in Northeast Asia: A Case from China’s Fuel Oil Futures Market," Sustainability, MDPI, vol. 10(1), pages 1-14, January.
  2. Narayan, Paresh Kumar & Narayan, Seema & Zheng, Xinwei, 2010. "Gold and oil futures markets: Are markets efficient?," Applied Energy, Elsevier, vol. 87(10), pages 3299-3303, October.
  3. Pawe{l} Fiedor, 2013. "Frequency Effects on Predictability of Stock Returns," Papers 1310.5540, arXiv.org, revised Nov 2013.
  4. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
  5. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
  6. Tiwari, Aviral Kumar & Kumar, Satish & Pathak, Rajesh & Roubaud, David, 2019. "Testing the oil price efficiency using various measures of long-range dependence," Energy Economics, Elsevier, vol. 84(C).
  7. Atanu Ghoshray & Issam Malki, 2021. "The share of the global energy mix: Signs of convergence?," Bulletin of Economic Research, Wiley Blackwell, vol. 73(1), pages 34-50, January.
  8. Erdogdu, Erkan, 2010. "A paper on the unsettled question of Turkish electricity market: Balancing and settlement system (Part I)," Applied Energy, Elsevier, vol. 87(1), pages 251-258, January.
  9. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
  10. Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012. "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, vol. 34(1), pages 283-293.
  11. Presno, María José & Landajo, Manuel & Fernández, Paula, 2012. "Non-renewable resource prices. A robust evaluation from the stationarity perspective," MPRA Paper 42523, University Library of Munich, Germany.
  12. George P. Papaioannou & Christos Dikaiakos & Akylas C. Stratigakos & Panos C. Papageorgiou & Konstantinos F. Krommydas, 2019. "Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools," Energies, MDPI, vol. 12(4), pages 1-30, February.
  13. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "OPEC and non-OPEC oil production and the global economy," Energy Economics, Elsevier, vol. 50(C), pages 364-378.
  14. Vinod Mishra & Russell Smyth, 2014. "Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data," Monash Economics Working Papers 20-14, Monash University, Department of Economics.
  15. José Manuel Madeira Belbute, 2015. "Does Final Energy Demand in Portugal Exhibit Long Memory? A Fractional Integration Analysis," CEFAGE-UE Working Papers 2015_04, University of Evora, CEFAGE-UE (Portugal).
  16. Syeda Tayyaba Ijaz & Rabia Komal, 2015. "Role Of Hurst Exponent In Prediction Of Market Efficiency In Kse-100 Index," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 11(2), pages 41-54.
  17. Martina, Esteban & Rodriguez, Eduardo & Escarela-Perez, Rafael & Alvarez-Ramirez, Jose, 2011. "Multiscale entropy analysis of crude oil price dynamics," Energy Economics, Elsevier, vol. 33(5), pages 936-947, September.
  18. Gengnan Chiang & Ming-Yi Wu, 2017. "The Richer the Greener: Evidence from G7 Countries," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(10), pages 11-20, October.
  19. Narayan, Paresh Kumar & Liu, Ruipeng, 2011. "Are shocks to commodity prices persistent?," Applied Energy, Elsevier, vol. 88(1), pages 409-416, January.
  20. Igor LEBRUN & Ludovic DOBBELAERE, 2010. "A Macro-econometric Model for the Economy of Lesotho," EcoMod2010 259600102, EcoMod.
  21. Wang, Xiao-Qing & Su, Chi-Wei & Lobonţ, Oana-Ramona & Li, Hao & Nicoleta-Claudia, Moldovan, 2022. "Is China's carbon trading market efficient? Evidence from emissions trading scheme pilots," Energy, Elsevier, vol. 245(C).
  22. Christian Haas and Karol Kempa, 2018. "Directed Technical Change and Energy Intensity Dynamics: Structural Change vs. Energy Efficiency," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  23. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
  24. Kempa, Karol & Haas, Christian, 2016. "Directed Technical Change and Energy Intensity Dynamics: Structural Change vs. Energy Efficiency," VfS Annual Conference 2016 (Augsburg): Demographic Change 145722, Verein für Socialpolitik / German Economic Association.
  25. Soytas, Ugur & Oran, Adil, 2011. "Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey," Applied Energy, Elsevier, vol. 88(1), pages 354-360, January.
  26. Syeda Tayyaba Ijaz & Rabia Komal, 2015. "Role Of Hurst Exponent In Prediction Of Market Efficiency In Kse-100 Index," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 11(2), pages 11-14.
  27. Jawadi, Fredj & Ftiti, Zied & Hdia, Mouna, 2017. "Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach," Economic Modelling, Elsevier, vol. 64(C), pages 567-588.
  28. Hooi Hooi Lean & Russell Smyth, 2015. "Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks," Applied Economics, Taylor & Francis Journals, vol. 47(16), pages 1710-1721, April.
  29. Apergis, Nicholas & Tsoumas, Chris, 2011. "Integration properties of disaggregated solar, geothermal and biomass energy consumption in the U.S," Energy Policy, Elsevier, vol. 39(9), pages 5474-5479, September.
  30. Loi, Tian Sheng Allan & Ng, Jia Le, 2018. "Anticipating electricity prices for future needs – Implications for liberalised retail markets," Applied Energy, Elsevier, vol. 212(C), pages 244-264.
  31. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2019. "An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China," Finance Research Letters, Elsevier, vol. 31(C).
  32. José Manuel Belbute & Alfredo Marvão Pereira, 2016. "Does final energy demand in Portugal exhibit long memory? A fractional integration analysis," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(2), pages 59-77, August.
  33. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(9), pages 1910-1920.
  34. Tung, Ching-Pin & Tseng, Tze-Chi & Huang, An-Lei & Liu, Tzu-Ming & Hu, Ming-Che, 2013. "Impact of climate change on Taiwanese power market determined using linear complementarity model," Applied Energy, Elsevier, vol. 102(C), pages 432-439.
  35. Mishra, Vinod & Smyth, Russell, 2016. "Are natural gas spot and futures prices predictable?," Economic Modelling, Elsevier, vol. 54(C), pages 178-186.
  36. Lin, Pei-Chien & Huang, Ho-Chuan (River), 2012. "Inequality convergence revisited: Evidence from stationarity panel tests with breaks and cross correlation," Economic Modelling, Elsevier, vol. 29(2), pages 316-325.
  37. Lee, Chien-Chiang & Chiu, Yi-Bin, 2011. "Electricity demand elasticities and temperature: Evidence from panel smooth transition regression with instrumental variable approach," Energy Economics, Elsevier, vol. 33(5), pages 896-902, September.
  38. Yaya, OlaOluwa Simon & Gil-Alana, Luis Alberiko & Carcel, Hector, 2015. "Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time," Energy Economics, Elsevier, vol. 52(PA), pages 240-245.
  39. Meng, Ming & Payne, James E. & Lee, Junsoo, 2013. "Convergence in per capita energy use among OECD countries," Energy Economics, Elsevier, vol. 36(C), pages 536-545.
  40. An, Pengli & Li, Huajiao & Zhou, Jinsheng & Li, Yang & Sun, Bowen & Guo, Sui & Qi, Yajie, 2020. "Volatility spillover of energy stocks in different periods and clusters based on structural break recognition and network method," Energy, Elsevier, vol. 191(C).
  41. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2013. "Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities," Applied Energy, Elsevier, vol. 101(C), pages 363-375.
  42. Paweł Fiedor, 2015. "Multiscale Analysis of the Predictability of Stock Returns," Risks, MDPI, vol. 3(2), pages 1-15, June.
  43. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Commodity futures and market efficiency," Energy Economics, Elsevier, vol. 42(C), pages 50-57.
  44. Noguera, José, 2013. "Oil prices: Breaks and trends," Energy Economics, Elsevier, vol. 37(C), pages 60-67.
  45. Bejbl, Jan & Bemš, Julius & Králík, Tomáš & Starý, Oldřich & Vastl, Jaromír, 2014. "New approach to brown coal pricing using internal rate of return methodology," Applied Energy, Elsevier, vol. 133(C), pages 289-297.
  46. Cao, K.H. & Qi, H.S. & Tsai, C.H. & Woo, C.K. & Zarnikau, J., 2021. "Energy trading efficiency in the US Midcontinent electricity markets," Applied Energy, Elsevier, vol. 302(C).
  47. Su, Chi-Wei & Huang, Shi-Wen & Qin, Meng & Umar, Muhammad, 2021. "Does crude oil price stimulate economic policy uncertainty in BRICS?," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
  48. Mr. M. Awais Mehmood & Dr. Faisal Aftab & Dr. Hafiz Mushtaq, 2016. "Role Of Social Media Marketing (Smm) In Hei’S Admission," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 12(1), pages 12-10.
  49. Valadkhani, Abbas & Nguyen, Jeremy & Smyth, Russell, 2018. "Consumer electricity and gas prices across Australian capital cities: Structural breaks, effects of policy reforms and interstate differences," Energy Economics, Elsevier, vol. 72(C), pages 365-375.
  50. Manuel Landajo & María José Presno & Paula Fernández González, 2021. "Stationarity in the Prices of Energy Commodities. A Nonparametric Approach," Energies, MDPI, vol. 14(11), pages 1-16, June.
  51. Presno, María José & Landajo, Manuel & Fernández, Paula, 2014. "Non-renewable resource prices: A robust evaluation from the stationarity perspective," Resource and Energy Economics, Elsevier, vol. 36(2), pages 394-416.
  52. Gao, Xiangyun & Fang, Wei & An, Feng & Wang, Yue, 2017. "Detecting method for crude oil price fluctuation mechanism under different periodic time series," Applied Energy, Elsevier, vol. 192(C), pages 201-212.
  53. Onder Buberkoku, 2017. "Examining Energy Futures Market Efficiency Under Multiple Regime Shifts," International Journal of Energy Economics and Policy, Econjournals, vol. 7(6), pages 61-71.
  54. Karahan, Cenk C. & Odabaşı, Attila & Tiryaki, C. Sani, 2024. "Wired together: Integration and efficiency in European electricity markets," Energy Economics, Elsevier, vol. 133(C).
  55. Alper Kara & Dilem Yildirim & G. Ipek Tunc, 2023. "Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(2), pages 279-290, June.
  56. Alper Kara & Dilem Yıldırım & Gül İpek Tunç, 2021. "Market Efficiency In Non-Renewable Resource Markets: Evidence From Stationarity Tests With Structural Changes," ERC Working Papers 2103, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
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