Bubbles in Crude Oil and Commodity Energy Index: New Evidence

Energies

Georgios Galyfianakis¹  Christos Floros¹ 

[1] Department of Accounting and Finance, Laboratory of Accounting and Financial Management (LAFIM), Hellenic Mediterranean University, 71004 Heraklion, Greece;

关键词: bubbles;    energy prices;    SADF;    crude oil;    brent;    WTI;   

DOI  :  10.3390/en13246648

来源: DOAJ

【 摘 要 】

This paper considers a long dataset of both Brent and West Texas Intermediate (WTI) crude oil prices and the Commodity (fuel) energy index (CEI) to identify possible bubbles. Using the Supremum Augmented Dickey–Fuller (SADF) test, we compare results from WTI and Brent with CEI. We prove that the CEI follows Brent crude oil (they provide similar bubble periods) and that Brent is recognized as a crude oil benchmark. Financial managers should incorporate it into their analysis and forecasts. The findings are strongly recommended to energy policymakers and investors.

【 授权许可】

Unknown