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Market inefficiencies associated with pricing oil stocks during shocks
Qiao, Kenan1,2,3; Sun, Yuying1,2,4; Wang, Shouyang1,2,4
2019-06-01
Source PublicationENERGY ECONOMICS
ISSN0140-9883
Volume81Pages:661-671
AbstractThe assumption that market efficiency informs the pricing of oil stocks is critical to understanding the co-movement between stock markets and oil markets. To test this assumption in relation to various types of real oil price changes, this article proposes a two-stage analysis method that starts with a quantile regression to identify oil shocks and develop interval-valued factor pricing models. These interval-based methods, relative to traditional point-based methods, can produce more efficient parameter estimations by providing more information. The results show that oil stocks tend to be overpriced following negative oil price shocks, which partially violates the efficient market hypothesis. Yet oil stocks are efficiently priced in response to moderate changes or positive oil price shocks, such that in most cases, the market remains efficient in pricing oil stocks. (C) 2019 Elsevier B.V. All rights reserved.
KeywordCrude oil shocks Interval-valued factor pricing models Market efficiency Oil stocks Quantile regression
DOI10.1016/j.eneco.2019.04.016
Language英语
Funding ProjectNational Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71701199] ; National Natural Science Foundation of China[71871213] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[201601]
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000478710000051
PublisherELSEVIER
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/35426
Collection系统科学研究所
Corresponding AuthorSun, Yuying
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China
3.Univ Groningen, Fac Econ & Business, Groningen, Netherlands
4.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Qiao, Kenan,Sun, Yuying,Wang, Shouyang. Market inefficiencies associated with pricing oil stocks during shocks[J]. ENERGY ECONOMICS,2019,81:661-671.
APA Qiao, Kenan,Sun, Yuying,&Wang, Shouyang.(2019).Market inefficiencies associated with pricing oil stocks during shocks.ENERGY ECONOMICS,81,661-671.
MLA Qiao, Kenan,et al."Market inefficiencies associated with pricing oil stocks during shocks".ENERGY ECONOMICS 81(2019):661-671.
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