ANALYSIS OF OIL MARKET EFFICIENCY (THE CASE OF OPEC)

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FATTAHI SHAHRAM; TORKAMAN AHMADI MASOOMEH

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Journal: Monetary and Financial Economics Year:2012 | Volume:18 | Issue:2 Page(s): 120-138

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Information Journal Paper

Title

ANALYSIS OF OIL MARKET EFFICIENCY (THE CASE OF OPEC)

Author(s)

FATTAHI SHAHRAM | TORKAMAN AHMADI MASOOMEH | Issue Writer Certificate

Keywords

OPECQ2

LO AND MACKINLAY SINGLE VARIANCE RATIO TESTQ2

CHOW AND DENNING MULTIPLE VARIANCE RATIO TESTQ2

MOVING WINDOW METHODQ2

TIME-VARYING TRENDQ2

Abstract

In this paper, the random walk hypothesis and the OPEC oil market efficiency have been examined. The random walk hypothesis states that prices are completely stochastic in nature so that they have 'no memory'. In its weak-form, changes in prices occur stochastically and, as a result, the random walk behavior of prices is usually used to test the weak-form efficiency.In order to study the random walk hypothesis and the OPEC oil market efficiency, Lo & Mackinlay single variance ratio test (LOMAC) and Chow & Denning multiple variance ratio test (CD) have been utilized. Accordingly, we employed the index of OPEC oil spot prices for the period of 3rd January 1997 to 24th September 2010 and three selected subsamples.The results indicated that although the efficiency does not hold for the whole period, there is an increasing trend. Furthermore, using the MOVING WINDOW METHOD, a timevarying trend has been detected in the graph of returns autocorrelations of the oil price index for the whole period.

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APA: Copy

FATTAHI, SHAHRAM, & TORKAMAN AHMADI, MASOOMEH. (2012). ANALYSIS OF OIL MARKET EFFICIENCY (THE CASE OF OPEC). JOURNAL OF MONETARY & FINANCIAL ECONOMICS, 18(2), 120-138. SID. https://sid.ir/paper/387413/en

Vancouver: Copy

FATTAHI SHAHRAM, TORKAMAN AHMADI MASOOMEH. ANALYSIS OF OIL MARKET EFFICIENCY (THE CASE OF OPEC). JOURNAL OF MONETARY & FINANCIAL ECONOMICS[Internet]. 2012;18(2):120-138. Available from: https://sid.ir/paper/387413/en

IEEE: Copy

SHAHRAM FATTAHI, and MASOOMEH TORKAMAN AHMADI, “ANALYSIS OF OIL MARKET EFFICIENCY (THE CASE OF OPEC),” JOURNAL OF MONETARY & FINANCIAL ECONOMICS, vol. 18, no. 2, pp. 120–138, 2012, [Online]. Available: https://sid.ir/paper/387413/en

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