Bubbles in Crude Oil and Commodity Energy Index: New Evidence
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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-12-01
|
| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/13/24/6648 |
| _version_ | 1827699930989330432 |
|---|---|
| author | Christos Floros Georgios Galyfianakis |
| author_facet | Christos Floros Georgios Galyfianakis |
| author_sort | Christos Floros |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-10T14:01:22Z |
| format | Article |
| id | doaj.art-c573e8b0e1674696b1780e253c7acf5d |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-03-10T14:01:22Z |
| publishDate | 2020-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-c573e8b0e1674696b1780e253c7acf5d2023-11-21T01:05:30ZengMDPI AGEnergies1996-10732020-12-011324664810.3390/en13246648Bubbles in Crude Oil and Commodity Energy Index: New EvidenceChristos Floros0Georgios Galyfianakis1Department of Accounting and Finance, Laboratory of Accounting and Financial Management (LAFIM), Hellenic Mediterranean University, 71004 Heraklion, GreeceDepartment of Accounting and Finance, Laboratory of Accounting and Financial Management (LAFIM), Hellenic Mediterranean University, 71004 Heraklion, GreeceThis 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.https://www.mdpi.com/1996-1073/13/24/6648bubblesenergy pricesSADFcrude oilbrentWTI |
| spellingShingle | Christos Floros Georgios Galyfianakis Bubbles in Crude Oil and Commodity Energy Index: New Evidence Energies bubbles energy prices SADF crude oil brent WTI |
| title | Bubbles in Crude Oil and Commodity Energy Index: New Evidence |
| title_full | Bubbles in Crude Oil and Commodity Energy Index: New Evidence |
| title_fullStr | Bubbles in Crude Oil and Commodity Energy Index: New Evidence |
| title_full_unstemmed | Bubbles in Crude Oil and Commodity Energy Index: New Evidence |
| title_short | Bubbles in Crude Oil and Commodity Energy Index: New Evidence |
| title_sort | bubbles in crude oil and commodity energy index new evidence |
| topic | bubbles energy prices SADF crude oil brent WTI |
| url | https://www.mdpi.com/1996-1073/13/24/6648 |
| work_keys_str_mv | AT christosfloros bubblesincrudeoilandcommodityenergyindexnewevidence AT georgiosgalyfianakis bubblesincrudeoilandcommodityenergyindexnewevidence |