Crude oil market efficiency: An empirical investigation via the Shannon entropy (notice n° 594063)
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| fixed length control field | 02346cam a2200301 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121150737.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Mensi, Walid |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Crude oil market efficiency: An empirical investigation via the Shannon entropy |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2012.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 85 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Cet article examine la dynamique de l’efficience faible des marchés pétroliers via l’entropie de Shannon et l’analyse des données symboliques. Nos résultats, obtenus sur la base de données journalières allant du 20 mai 1987 au 6 mars 2012 pour deux marchés de référence (le Brent européen et le West Texas Intermediate), montrent que le degré d’efficience, au sens faible, des marchés considérés évolue dans le temps, mais avec des tendances temporelles différentes. En outre, le marché du WTI semble être moins efficient que le marché du Brent. Ces résultats ont des implications directes sur les actions des gérants de portefeuille et celles des régulateurs de marché.Classification JEL : G14 ; G15 ; C87. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper evaluates the time-varying degrees of weak-form efficiency of the crude oil markets using the Modified Shannon Entropy (MSE) and the Symbolic Time Series Analysis (STSA) approach. Using daily data from May 20, 1987 to March 6, 2012 for two worldwide crude oil benchmarks (West Texas Intermediate and Europe Brent), our findings reveal that the weak-form market efficiency of two oil markets evolves through time, but with different time trends. Moreover, the WTI market appears to be less efficient than the Europe Brent. These results have several implications for commodity portfolio hedgers and policymakers. JEL Classification: G14; G15; C87. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | théorie de l'information |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | entropie de Shannon |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | prix pétrolier |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | efficience informationnelle |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | oil prices |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | market efficiency |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Shannon entropy |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | information theory |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Aloui, Chaker |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Hamdi, Manel |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Nguyen, Duc Khuong |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Économie internationale | 129 | 1 | 2012-08-01 | p. 119-137 | 1240-8093 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-economie-internationale-2012-1-page-119?lang=en&redirect-ssocas=7080">https://shs.cairn.info/revue-economie-internationale-2012-1-page-119?lang=en&redirect-ssocas=7080</a> |
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