Time-Varying Market Efficiency: A Focus on Crude Oil and Commodity Dynamics DOI Creative Commons
Young Sung Kim, Do-Hyeon Kim, Dong‐Jun Kim

et al.

Fractal and Fractional, Journal Year: 2025, Volume and Issue: 9(3), P. 162 - 162

Published: March 6, 2025

This study investigated market efficiency across 20 major commodity assets, including crude oil, utilizing fractal analysis. Additionally, a rolling window approach was employed to capture the time-varying nature of in these markets. A Granger causality test applied assess influence oil on other commodities. Key findings revealed significant inefficiencies RBOB(Reformulated Blendstock for Oxygenated Blending) Gasoline, Palladium, and Brent Crude Oil, largely driven by geopolitical risks that exacerbated supply–demand imbalances. By contrast, Copper, Kansas Wheat, Soybeans exhibited greater because their stable dynamics. The COVID-19 pandemic underscored efficiency, with short-term volatility causing price fluctuations. Geopolitical events such as Russia–Ukraine War exposed some commodities shocks, while others remained resilient. Oil key driver inefficiency. Our align Fractal Fractional (FF) concepts. MF-DFA method self-similarity prices, inefficient markets long-memory effects, challenging Efficient Market Hypothesis. analysis captured evolving influenced external reinforcing relevance fractional models financial Furthermore, can help traders, policymakers, researchers, highlighting indicator emphasizing need risk management regulatory measures.

Language: Английский

Time-Varying Market Efficiency: A Focus on Crude Oil and Commodity Dynamics DOI Creative Commons
Young Sung Kim, Do-Hyeon Kim, Dong‐Jun Kim

et al.

Fractal and Fractional, Journal Year: 2025, Volume and Issue: 9(3), P. 162 - 162

Published: March 6, 2025

This study investigated market efficiency across 20 major commodity assets, including crude oil, utilizing fractal analysis. Additionally, a rolling window approach was employed to capture the time-varying nature of in these markets. A Granger causality test applied assess influence oil on other commodities. Key findings revealed significant inefficiencies RBOB(Reformulated Blendstock for Oxygenated Blending) Gasoline, Palladium, and Brent Crude Oil, largely driven by geopolitical risks that exacerbated supply–demand imbalances. By contrast, Copper, Kansas Wheat, Soybeans exhibited greater because their stable dynamics. The COVID-19 pandemic underscored efficiency, with short-term volatility causing price fluctuations. Geopolitical events such as Russia–Ukraine War exposed some commodities shocks, while others remained resilient. Oil key driver inefficiency. Our align Fractal Fractional (FF) concepts. MF-DFA method self-similarity prices, inefficient markets long-memory effects, challenging Efficient Market Hypothesis. analysis captured evolving influenced external reinforcing relevance fractional models financial Furthermore, can help traders, policymakers, researchers, highlighting indicator emphasizing need risk management regulatory measures.

Language: Английский

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