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Journal article
On the short- and long-run efficiency of energy and precious metal markets
Energy economics, v 40, pp 832-844
01 Nov 2013
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This article contributes to the related literature by empirically investigating the efficiency of nine energy and precious metal markets over the last decades, employing several pronounced models. We test for both short- and the long-run efficiency using, in addition to linear cointegration models, nonlinear cointegration and error-correction models (ECMs) which allow the efficiency intensity to change per regime. Our findings can be summarized as follows: i) futures prices are found to be cointegrated with spot prices, but they do not constitute unbiased predictors of future spot prices; ii) the hypothesis of risk neutrality is rejected; iii) the short-run efficiency hypothesis is rejected, suggesting that using past futures price returns improves the modeling and forecasting of future spot prices; and iv) the nonlinear modeling suggests the presence of two distinct regimes wherein the first regime the efficiency hypothesis is supported, whereas in the second it is rejected. The empirical findings have important implications for producers, hedgers, speculators and policymakers. (C) 2013 Elsevier B.V. All rights reserved.
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Details
- Title
- On the short- and long-run efficiency of energy and precious metal markets
- Creators
- Mohamed El Hedi Arouri - Univ Auvergne, Auvergne, FranceShawkat Hammoudeh - LeBow College of Business, Drexel University, United States.Amine Lahiani - Rennes School of BusinessDuc Khuong Nguyen - IPAG Business School
- Publication Details
- Energy economics, v 40, pp 832-844
- Publisher
- Elsevier
- Number of pages
- 13
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000329081300079
- Scopus ID
- 2-s2.0-84887250597
- Other Identifier
- 991019167877604721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics