Impact of the global financial crisis on the crude oil market

被引：51

作者：

Joo, Kyohun ^{[1
]}

Suh, Jong Hwan ^{[2
]}

Lee, Daeyong ^{[3
]}

Ahn, Kwangwon ^{[4
]}

机构：

[1] Korea Adv Inst Sci & Technol, Daejeon, South Korea

[2] Gyeongsang Natl Univ, BERI, Jinju, South Korea

[3] Iowa State Univ, Ames, IA 50011 USA

[4] Yonsei Univ, Seoul, South Korea

来源：

ENERGY STRATEGY REVIEWS | 2020年 / 30卷

基金：

新加坡国家研究基金会;

关键词：

Financial crisis; Crude oil market; Market efficiency; Equilibrium; Collective phenomena; COMMODITY-MARKETS; HURST EXPONENT; ECONOMIC-ACTIVITY; STOCK; PRICES; CHINA; VOLATILITY; UNCERTAINTY; ENTROPY; EFFICIENCY;

D O I：

10.1016/j.esr.2020.100516

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

This study examines the effect of the 2008 global financial crisis on the crude oil market. We use the Hurst exponent, Shannon entropy, and the scaling exponent to characterize the changes in the oil market properties (i. e., efficiency, long-term equilibrium, and collective phenomena) caused by the financial crisis. Although volatility in the oil market remained the same after the crisis, we find that the crisis altered the scale-invariant property of the oil market, and it also negatively influenced market properties in terms of efficiency and longterm equilibrium. Accordingly, we propose (1) to introduce tight market regulation requesting a transaction report for sizable trades and (2) to incentivize investors to provide accurate information.

引用

页数：6

共 94 条

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