Efficiency of Brent Index and Futures Markets

Journal of International Finance and Economics, 18.2, 19-28, 2018

Posted: 3 Feb 2020

Date Written: 2018

Abstract

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.

Keywords: Oil Markets, Energy, Futures Markets, Brent Index, Granger Causality

JEL Classification: G13, G14

Suggested Citation

Inci, Ahmet Can, Efficiency of Brent Index and Futures Markets (2018). Journal of International Finance and Economics, 18.2, 19-28, 2018, Available at SSRN: https://ssrn.com/abstract=3516804

Ahmet Can Inci (Contact Author)

Bryant University ( email )

1150 Douglas Pike
Smithfield, RI 02917
United States

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