Title: The bubble process of international crude oil futures prices: empirical evidence from the STAR model
Authors: Yue-Jun Zhang; Ting Yao; Zi-Yi Wang
Addresses: Business School of Hunan University, Changsha 410082, China; Center for Resource and Environmental Management, Hunan University, Changsha 410082, China ' Business School of Hunan University, Changsha 410082, China; Center for Resource and Environmental Management, Hunan University, Changsha 410082, China ' China Mobile Group Design Institute Co., Ltd., Beijing Branch, Beijing 100080, China
Abstract: Since the 21st century, international crude oil price has continually reached the historical high with significant impact on the socio-economic development across the world. Whether there exists some bubbles in crude oil prices, how do the bubbles evolve over time and how much about the scale have become the focuses in academia and among practitioners. Under this circumstance, we employ the STAR model to analyse the WTI crude oil price bubbles from January 2003 to July 2013 and find that in the past decade, the bubbles always exist in the movement of WTI crude oil prices and with the crash of crude oil prices in the second half of 2008, the bubbles relieved significantly and the prices almost approached to the fundamental values, but with the following global economic recovery, the bubbles have emerged again in the wake of the upsurge of crude oil prices.
Keywords: crude oil prices; price bubbles; STAR model; regime switching; risk management; oil futures.
International Journal of Global Energy Issues, 2015 Vol.38 No.1/2/3, pp.109 - 125
Available online: 18 May 2015 *Full-text access for editors Access for subscribers Purchase this article Comment on this article