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Market inefficiencies associated with pricing oil stocks during shocks

文献类型：期刊论文

作者Qiao, Kenan1,3,4; Sun, Yuying1,2,3; Wang, Shouyang1,2,3
刊名ENERGY ECONOMICS
出版日期2019-06-01
卷号81页码:661-671
关键词Crude oil shocks Interval-valued factor pricing models Market efficiency Oil stocks Quantile regression
ISSN号0140-9883
DOI10.1016/j.eneco.2019.04.016
英文摘要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.
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
语种英语
WOS记录号WOS:000478710000051
出版者ELSEVIER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/35425]  
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.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China
4.Univ Groningen, Fac Econ & Business, Groningen, Netherlands
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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