Efficiency of Brent Index and Futures Markets

Previous studies on the efficiency of oiI and gas markets have used monthly, weekly, or daily data. With the fast evolving, high-speed transaction globalized financial markets; efficiency of markets is better-explored using intraday day. In this paper, data sampled at 30-minute intervals intraday are used for this purpose. The efficiency and effectiveness of information propagation is examined between spot and derivatives markets of oil and gas commodities. Furthermore, the interpretation of new information and its incorporation into the prices are also examined with high frequency sampled data. The evidence from oil and gas markets is indicative of well-functioning commodity markets with highly efficiency conduction of information

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Year of publication:	2020
Authors:	Inci, A. Can
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Index-Futures \| Index futures \| Derivat \| Derivative \| Aktienindex \| Stock index \| Effizienzmarkthypothese \| Efficient market hypothesis \| Rohstoffderivat \| Commodity derivative \| Theorie \| Theory \| Hedging \| Warenbörse \| Commodity exchange \| Effizienz \| Efficiency
Description of contents:	Abstract [papers.ssrn.com]