Further evidence on the time-varying efficiency of crude oil markets

Chaker Aloui, Manel Hamdi, Walid Mensi, Duc Khuong. Nguyen
2012 Energy Studies Review  
In this paper, we apply the rolling sample Shannon entropy and the Symbolic Time Series Analysis to evaluate the dynamic of weak-form efficiency of the crude oil markets. Daily closing spot prices data for two worldwide crude oil benchmarks (West Texas Intermediate and Europe Brent) are used with a time window of 4 years. Our main findings support evidence that the degree of efficiency of crude oil market is time-varying. Moreover, the WTI market appears to be less efficient than the Europe
more » ... t. We finally show that the crisis 1997-1998 adversely affected the efficiency degree in crude oil markets. Overall, the findings have several important policy and investment implications.
doi:10.15173/esr.v19i2.540 fatcat:xmqidirscbh5nk74kknlyab7gq