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Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets: Evidence from the Hurst exponent and Shannon entropy methods
Mensi, Walid; Beljid, Makram; Managi, Shunsuke - In: Economie Internationale (2014) 140, pp. 89-106
This paper examines the time-varying levels of weak-form efficiency and the presence of structural breaks for two worldwide crude oil benchmarks over the period spanning from January 2, 1990, through September 18, 2012. We use two different econophysics approaches for comparison purposes. The...
Persistent link: https://www.econbiz.de/10011082289
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Crude oil market efficiency: An empirical investigation via the Shannon entropy
Mensi, Walid; Alaoui, Chaker; Nguyen, Khuong - In: Economie Internationale (2012) 129
This paper evaluates the time-varying degrees of weak-form efficiency of the crude oil markets using the Modified Shannon Entropy (MSE) and the Symbolic Time Series Analysis (STSA) approach. Using daily data from May 20, 1987 to March 6, 2012 for two worldwide crude oil benchmarks (West Texas...
Persistent link: https://www.econbiz.de/10010567362
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Crude oil market efficiency: An empirical investigation via the Shannon entropy
Mensi, Walid; Alaoui, Chaker; Nguyen, Khuong - In: Economie Internationale (2012) 129, pp. 119-137
This paper evaluates the time-varying degrees of weak-form efficiency of the crude oil markets using the Modified Shannon Entropy (MSE) and the Symbolic Time Series Analysis (STSA) approach. Using daily data from May 20, 1987 to March 6, 2012 for two worldwide crude oil benchmarks (West Texas...
Persistent link: https://www.econbiz.de/10010602625