Market inefficiencies associated with pricing oil stocks during shocks

doi:10.1016/j.eneco.2019.04.016

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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
发表期刊	ENERGY ECONOMICS
ISSN	0140-9883
卷号	81 页码:661-671
摘要	The 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.
关键词	Crude oil shocks Interval-valued factor pricing models Market efficiency Oil stocks Quantile regression
DOI	10.1016/j.eneco.2019.04.016
语种	英语
资助项目	National 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研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000478710000051
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35426
专题	系统科学研究所
通讯作者	Sun, Yuying
作者单位	1.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
推荐引用方式 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.