Examining the non-linear stochastic behavior of the European energy market: evidence from nonlinear unit root tests

IF 3.1 4区工程技术 Q3 ENERGY & FUELS

Energy Sources Part B-Economics Planning and Policy Pub Date : 2022-09-07 DOI:10.1080/15567249.2022.2118900

Ceyda Aktan, Tolga Omay, E. E. Sahin

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引用次数: 1

Abstract

ABSTRACT Stock market efficiency has been one of the most investigated topics of the last century. Knowing the efficiency of a market has major implications for both investors and policymakers, as a perfectly efficient market eliminates any arbitrage opportunity and the possibility of actually beating the market. For this reason, this study aims to examine the weak-form market efficiency of the European energy markets using linear and nonlinear unit root tests for the period covering February 2012 to April 2021. The results indicated that while the Augmented Dickey–Fuller test captured the stationarity in only Austria’s Oil, and Gas index, using nonlinear tests showed stationarity in 17 of the 20 indices tested. Overall, the European Energy Market can be considered inefficient under the weak form of the Efficient Market Hypothesis. Therefore, there is an indication of profitable arbitrage opportunities among energy stocks. Signs of stationarity also suggest that shocks to energy stocks will have temporary effects. Energy markets of Austria, Finland, France, Greece, Italy, Netherlands, Russia, Spain, Sweden, and the United Kingdom, for this reason, could benefit from policy changes to support increased information flow to achieve more transparency and utilize better trading technologies.

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检视欧洲能源市场的非线性随机行为:来自非线性单位根检验的证据

股票市场效率一直是上个世纪研究最多的话题之一。了解市场的效率对投资者和决策者都有重大意义，因为一个完全有效的市场消除了任何套利机会和实际击败市场的可能性。因此，本研究旨在利用线性和非线性单位根检验2012年2月至2021年4月期间欧洲能源市场的弱形式市场效率。结果表明，增强型Dickey-Fuller测试只捕获了奥地利油气指数的平稳性，而非线性测试显示，20个测试指数中有17个都具有平稳性。总的来说，在有效市场假说的弱形式下，欧洲能源市场可以被认为是低效的。因此，有迹象表明能源股存在盈利套利机会。稳定的迹象还表明，对能源股的冲击将产生暂时影响。因此，奥地利、芬兰、法国、希腊、意大利、荷兰、俄罗斯、西班牙、瑞典和英国的能源市场可以从政策变化中受益，以支持增加信息流，实现更高的透明度，并利用更好的交易技术。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Sources Part B-Economics Planning and Policy ENERGY & FUELS-

CiteScore

6.80

自引率

12.80%

发文量

审稿时长

6-12 weeks

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