Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach

Author First name, Last name, Institution

Aviral Kumar Tiwari, Rajagiri Business School
Zaghum Umar, Zayed UniversityFollow
Faisal Alqahtani, Taibah University

ORCID Identifiers

0000-0002-1822-9263

Document Type

Article

Source of Publication

Research in International Business and Finance

Publication Date

10-1-2021

Abstract

This study examines the presence of long-run dependence in a variety of crude and refined energy spot markets during the 1986–2018 period using the time-varying generalised Hurst exponent. Our results indicate that the weak-form efficiency in energy spot markets is clearly time-varying, with USGC(U.S. Gulf Coast Conventional Gasoline) Diesel Fuel the most efficient and Propane the least. An important finding is that after the subprime crisis, the persistence of energy spot market products has increased. Overall, our finding highlights that the time-varying model is preferable to the time-constant one since the former can capture time-varying efficiency, which heavily depends on a country's predominant economic and political conditions.

DOI Link

10.1016/j.ribaf.2021.101403

ISSN

0275-5319

Publisher

Elsevier BV

Volume

57

Disciplines

Business

Keywords

Efficient market hypothesis, Energy markets, Generalised Hurst exponent, Spot markets

Scopus ID

85103550101

Recommended Citation

Tiwari, Aviral Kumar; Umar, Zaghum; and Alqahtani, Faisal, "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach" (2021). All Works. 4123.
https://zuscholars.zu.ac.ae/works/4123

Indexed in Scopus

yes

Open Access

no