Investigation of Weak Form Efficiency Hypothesis in Both High and Low Volatility Regimes of OPEC Crude Oil Market

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MOHAMMADI ALAMUTI MAHMOOD; HADDADI MOHAMMAD REZA; NADEMI YOUNES

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:33 Page(s): 109-127

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Title

Investigation of Weak Form Efficiency Hypothesis in Both High and Low Volatility Regimes of OPEC Crude Oil Market

Author(s)

MOHAMMADI ALAMUTI MAHMOOD | HADDADI MOHAMMAD REZA | NADEMI YOUNES | Issue Writer Certificate

Keywords

OPEC Crude Oil MarketQ1

Weak Form Efficiency HypothesisQ1

Markov Regime Switching GARCH modelQ1

Abstract

Crude oil is a strategic commodity that has been one of the largest commodity market over the past 40 years in the world. The main players in the market, such as manufacturers, financial institutions and individual traders are interested in recognizing and benefiting from some moving trends and practices in oil prices and returns. A market where prices always and fully reflect information is called efficient. Thus, there are 3 types of market efficiencies: weak form, semi strong form and strong form efficiency. In research, the weak form efficiency is often tested. In this study, the weak form efficiency of the OPEC Crude Oil Market for daily data during the period from 4 January 2010 to 29 December 2017 by the two mode Markov Regime Switching GARCH model has been examined and the results of the estimation indicate a lack of efficiency in both high and low volatile regimes of the crude oil market.

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APA: Copy

MOHAMMADI ALAMUTI, MAHMOOD, HADDADI, MOHAMMAD REZA, & NADEMI, YOUNES. (2020). Investigation of Weak Form Efficiency Hypothesis in Both High and Low Volatility Regimes of OPEC Crude Oil Market. INVESTMENT KNOWLEDGE, 9(33 ), 109-127. SID. https://sid.ir/paper/387724/en

Vancouver: Copy

MOHAMMADI ALAMUTI MAHMOOD, HADDADI MOHAMMAD REZA, NADEMI YOUNES. Investigation of Weak Form Efficiency Hypothesis in Both High and Low Volatility Regimes of OPEC Crude Oil Market. INVESTMENT KNOWLEDGE[Internet]. 2020;9(33 ):109-127. Available from: https://sid.ir/paper/387724/en

IEEE: Copy

MAHMOOD MOHAMMADI ALAMUTI, MOHAMMAD REZA HADDADI, and YOUNES NADEMI, “Investigation of Weak Form Efficiency Hypothesis in Both High and Low Volatility Regimes of OPEC Crude Oil Market,” INVESTMENT KNOWLEDGE, vol. 9, no. 33 , pp. 109–127, 2020, [Online]. Available: https://sid.ir/paper/387724/en

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