文献类型：期刊文献

英文题名：Testing the weak-form efficiency of the WTI crude oil futures market

作者：Jiang, Zhi-Qiang[1,2];Xie, Wen-Jie[1,2,3];Zhou, Wei-Xing[1,2,3]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2014

卷号：405

起止页码：235

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20141417542472);WOS:【SSCI(收录号:WOS:000337854200024)，SCI-EXPANDED(收录号:WOS:000337854200024)】；

基金：This work was partly supported by National Natural Science Foundation of China (11075054 and 71131007), Shanghai Rising Star (Follow-up) Program (11QH1400800), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Crude oil futures; Weak-form efficiency; Bootstrapping

摘要：The weak-form efficiency of energy futures markets has long been studied and empirical evidence suggests controversial conclusions. In this work, nonparametric methods are adopted to estimate the Hurst indexes of the WTI crude oil futures prices (1983-2012) and a strict statistical test in the spirit of bootstrapping is put forward to verify the weak-form market efficiency hypothesis. The results show that the crude oil futures market is efficient when the whole period is considered. When the whole series is divided into three sub-series separated by the outbreaks of the Gulf War and the Iraq War, it is found that the Gulf War reduced the efficiency of the market. If the sample is split into two sub-series based on the signing date of the North American Free Trade Agreement, the market is found to be inefficient in the sub-periods during which the Gulf War broke out. The same analysis on short-time series in moving windows shows that the market is inefficient only when some turbulent events occur, such as the oil price crash in 1985, the Gulf war, and the oil price crash in 2008. (C) 2014 Elsevier B.V. All rights reserved.