Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/313256 
Autor:innen: 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Journal of Capital Markets Studies (JCMS) [ISSN:] 2514-4774 [Volume:] 2 [Issue:] 1 [Year:] 2018 [Pages:] 82-94
Verlag: 
Emerald, Bingley
Zusammenfassung: 
Purpose - The purpose of this paper is to study the efficiency of different oil and gas markets. Most previous studies examined the issue using low frequency date sampled at monthly, weekly, or daily frequencies. In this study, 30-minute intraday data are used to explore efficiency in energy markets. Design/methodology/approach - Sophisticated statistical analysis techniques such as Granger-causality regressions, augmented Dickey-Fuller tests, cointegration tests, vector autoregressions are used to explore the transmission of information between oil and gas energy markets. Findings - This study provides evidence for efficiency in energy markets. The new information that arrives either to futures markets or spot markets is digested correctly, completely, and in a fast manner, and is propagated to the other market. The evidence indicates high efficiency. Originality/value - This study is one of the first papers that uses 30-minute interval intraday data to investigate efficiency in oil and gas commodity markets.
Schlagwörter: 
Cointegration
Energy
Commodity markets
Oil and gas markets
JEL: 
G13
G14
Q32
Q35
Q41
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
156.8 kB





Publikationen in EconStor sind urheberrechtlich geschützt.