Title: Efficient market hypothesis in the international oil price fluctuation: based on the MF-DFA model
Authors: Yufeng Chen; Jian Yu
Addresses: School of Economics, Center for Studies of Modern Business, Zhejiang Gongshang University, No. 149, Road Jiaogong, Hangzhou, Zhejiang, 310012, China. ' School of Economics, Anhui University, No. 3, Road Feixi, HeFei, AnHui, 230039, China
Abstract: In light of the continual substantial divergences between mainstream economics and econophysics in regard to the market efficiency of international oil price volatility, a model based on multifractal detrended fluctuation analysis is built up to conduct an in-depth research into the validity and predictability of the international oil market, using weekly data of spot price indexes in the three international crude oil markets and reflecting the auto-correlation of oil price and speculation of external market. Our empirical results reveal that: (1) statistically, all previous changes in the international oil price are not completely independent; (2) an anti-persistence correlation and memory begins to characterise the international oil market under the influence of a large-scale capital speculation in financial market; (3) the international oil market presents a long-range auto-correlation and memory feature of finance market under the internal and external effects of auto-correlation and capital speculation respectively.
Keywords: oil price fluctuation; efficient market hypothesis; predictability; MF-DFA model; auto-correlation; capital speculation; global energy; international oil prices; price volatility; crude oil markets; multifractal detrended fluctuation analysis.
International Journal of Global Energy Issues, 2011 Vol.35 No.2/3/4, pp.275 - 286
Received: 13 Oct 2010
Accepted: 08 Jun 2011
Published online: 18 Jan 2012 *