原油市场效率的新证据

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-11-05 DOI:10.1111/ecin.13189

Liang Hu, Yoon-Jin Lee

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引用次数: 0

摘要

本文探讨了在 "商品市场金融化 "和 "压裂革命 "背景下原油市场的有效市场假说（EMH）。本文对西德克萨斯中质原油和布伦特原油现货及期货市场进行了广义光谱衍生检验（Hong 和 Lee，2005 年），同时还进行了随机优势检验（Linton 等人，2005 年），以研究跨市场和跨基准的套利机会。研究结果表明，金融化提高了每个市场的效率，但也为两个基准的现货-期货市场创造了更多的套利机会。压裂革命使石油市场支离破碎，但对单个市场或跨市场的 EMH 影响甚微。

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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New evidence on crude oil market efficiency

This paper examines the Efficient Market Hypothesis (EMH) in crude oil amid the “financialization of commodity markets” and the “fracking revolution”. It applies the generalized spectral derivative test (Hong and Lee 2005) on both West Texas Intermediate and Brent spot and futures markets, alongside a stochastic dominance test (Linton et al., 2005) to investigate arbitrage opportunities across markets and benchmarks. The findings indicate that financialization has made each market more efficient but also created more arbitrage opportunities in spot-futures markets at both benchmarks. The fracking revolution has fragmented oil markets but had little impact on EMH in individual markets or across markets.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.