A WEAK FORM EVALUATION OF THE EFFICIENCY OF THE ROTTERDAM AND ITALIAN OIL SPOT MARKETS

被引：2
|
作者：
PANAS, E
机构：
[1] The Athens School of Economics, Athens, 104 34
来源：
ENERGY ECONOMICS | 1991年 / 13卷 / 01期
关键词：
OIL PRICE; SPOT MARKETS; EFFICIENCY;
D O I：
10.1016/0140-9883(91)90052-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine whether the efficient market hypothesis can be applied to the Rotterdam and Italian oil markets, by analysing the log price changes observed in those markets for monthly data during the period January 1980 to December 1987. The objective is to investigate the leptokurticity in observed distributions of low price changes. The stable Paretian distributions have been used to test the leptokurtic distributions. © 1991.
引用
收藏
页码：26 / 32
页数：7
相关论文
共 50 条
  • [1] Weak-form efficiency in currency markets
    Pukthuanthong-Le, Kuntara
    Thomas, Lee R., III
    [J]. FINANCIAL ANALYSTS JOURNAL, 2008, 64 (03) : 31 - 52
  • [2] On Testing the Weak Form of Efficiency of Stock Markets
    Sed'a, Petr
    de los Banos Garcia-Moreno Garcia, Maria
    Roldan Casas, Jose Angel
    [J]. PROCEEDINGS OF THE 12TH INTERNATIONAL CONFERENCE ON STRATEGIC MANAGEMENT AND ITS SUPPORT BY INFORMATION SYSTEMS (SMSIS), 2017, : 342 - 349
  • [3] Weak Form Market Efficiency Test of Oil Markets Based on Generalized Spectrum Method
    Lv Wen-dong
    Pan Hui-feng
    [J]. 2009 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (16TH), VOLS I AND II, CONFERENCE PROCEEDINGS, 2009, : 1691 - +
  • [4] WEAK FORM EFFICIENCY IN INDIAN CAPITAL MARKETS: AN ANALYSIS
    Altaf, Nufazil
    Shah, Farooq Ahmad
    [J]. JIMS8M-THE JOURNAL OF INDIAN MANAGEMENT & STRATEGY, 2015, 20 (04) : 20 - 25
  • [5] Tests of weak form efficiency in the Middle East emerging markets
    Omran, Mohammed
    Farrar, Suzanne
    [J]. STUDIES IN ECONOMICS AND FINANCE, 2006, 23 (01) : 13 - +
  • [6] Testing the weak-form efficiency in African stock markets
    Ntim, Collins
    Opong, Kwaku
    Danbolt, Jo
    Dewotor, Frank
    [J]. MANAGERIAL FINANCE, 2011, 37 (03) : 195 - 218
  • [7] Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks
    Lean, Hooi Hooi
    Smyth, Russell
    [J]. APPLIED ECONOMICS, 2015, 47 (16) : 1710 - 1721
  • [8] Weak-form efficiency test in the Central European capital markets
    Hajek, Jan
    [J]. POLITICKA EKONOMIE, 2007, 55 (06) : 773 - 791
  • [9] Variance ratio tests of weak-form efficiency for futures markets
    Zhang, Xiaoyan
    Chen, Zhiding
    [J]. PROCEEDINGS OF THE 2007 CONFERENCE ON SYSTEMS SCIENCE, MANAGEMENT SCIENCE AND SYSTEM DYNAMICS: SUSTAINABLE DEVELOPMENT AND COMPLEX SYSTEMS, VOLS 1-10, 2007, : 2949 - 2954
  • [10] WEAK FORM EFFICIENCY TESTS FOR UNITED-KINGDOM COMMODITY-MARKETS
    BIRD, PJWN
    [J]. ECONOMIC JOURNAL, 1983, : 140 - 140
12345