Is WTI crude oil market becoming weakly efficient over time? New evidence from multiscale analysis based on detrended fluctuation analysis
Is WTI crude oil market becoming weakly efficient over time? New evidence from multiscale analysis based on detrended fluctuation analysis
复制标题
DOI：
10.1016/j.eneco.2009.12.001
复制
发表时间：
2010-09-01
期刊：
影响因子：
12.8
通讯作者：
Liu, Li
中科院分区：
文献类型：
--
作者：
Wang, Yudong;Liu, Li
这篇论文扩展了Tabak和Cajueiro[原油市场是否随着时间的推移变得弱有效]和Alvarez-Ramirez等人的工作。[原油市场的短期可预测性：去势波动分析方法，能源经济学30(2008)2645-2656]。本文采用基于多尺度去趋势波动分析的滚动窗口法，通过观察当地赫斯特指数的动态变化来检验WTI原油市场的有效性。实证结果表明，随着时间的推移，短期、中期和长期行为一般都会转变为有效行为。然而，如此一来，结果也表明，市场并没有长期沿着稳定的条件演变。基于多重分形去趋势波动分析，实现了多尺度分析。我们发现WTI原油市场的小幅波动是持续的，而大的波动无论在短期还是长期都具有很高的不稳定性。我们的讨论还扩展到纳入原油市场结构的论点，以解释不同的相关性动态。(C)2009爱思唯尔B.V.保留所有权利。
This paper extends the work in Tabak and Cajueiro [Are the crude oil markets becoming weakly efficient over time, Energy Economics 29 (2007) 28-36] and Alvarez-Ramirez et al. [Short-term predictability of crude oil markets: a detrended fluctuation analysis approach, Energy Economics 30 (2008) 2645-2656]. In this paper, we test for the efficiency of WTI crude oil market through observing the dynamic of local Hurst exponents employing the method of rolling window based on multiscale detrended fluctuation analysis. Empirical results show that short-term, medium-term and long-term behaviors were generally turning into efficient behavior over time. However, in this way, the results also show that the market did not evolve along stable conditions for long times. Multiscale analysis is also implemented based on multifractal detrended fluctuation analysis. We found that the small fluctuations of WTI crude oil market were persistent; however, the large fluctuations had high instability, both in the short- and long-terms. Our discussion is also extended by incorporating arguments from the crude oil market structure for explaining the different correlation dynamics. (C) 2009 Elsevier B.V. All rights reserved.