Further evidence on the time-varying efficiency of crude oil markets
DOI :
https://doi.org/10.15173/esr.v19i2.540Mots-clés :
crude oil markets, weak-form market efficiency, Asian financial crisis, Shannon entropy,Résumé
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 Brent. 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.
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