Abstract
Purpose The purpose of this paper is to study the efficiency of different oil and gas markets. Most previous studies examined the issue using low frequency date sampled at monthly, weekly, or daily frequencies. In this study, 30-minute intraday data are used to explore efficiency in energy markets. Design/methodology/approach Sophisticated statistical analysis techniques such as Granger-causality regressions, augmented Dickey-Fuller tests, cointegration tests, vector autoregressions are used to explore the transmission of information between oil and gas energy markets. Findings This study provides evidence for efficiency in energy markets. The new information that arrives either to futures markets or spot markets is digested correctly, completely, and in a fast manner, and is propagated to the other market. The evidence indicates high efficiency. Originality/value This study is one of the first papers that uses 30-minute interval intraday data to investigate efficiency in oil and gas commodity markets.
Highlights
Capital markets enable the trade of innumerable tangible and intangible items, including financial and commodity products
The well-known group of the Organization of Petroleum Exporting Countries is claimed to have acted as a cartel in the past in order to influence the price of oil
All these factors have nudged researchers and governments to find alternative energy sources, and several potential replacements have emerged in recent years
Summary
Capital markets enable the trade of innumerable tangible and intangible items, including financial and commodity products. Oil provides power to a certain number of countries, which possess surplus resources of this energy source. The health hazards to humans and to other living organisms due to the pure quality of air, potential leaks and the consequences of these natural disasters, the benzene and other carcinogens that exist in the composition of oil have enormous real and potential costs. All these factors have nudged researchers and governments to find alternative energy sources, and several potential replacements have emerged in recent years
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