New evidence on crude oil market efficiency
研究了金融化和页岩气革命对原油市场有效性的影响，发现金融化提高了单个市场效率但增加了跨市场套利机会，页岩气革命则对市场效率影响不大。
Abstract This paper examines the Efficient Market Hypothesis (EMH) in crude oil amid the “financialization of commodity markets” and the “fracking revolution”. It applies the generalized spectral derivative test (Hong and Lee 2005) on both West Texas Intermediate and Brent spot and futures markets, alongside a stochastic dominance test (Linton et al., 2005) to investigate arbitrage opportunities across markets and benchmarks. The findings indicate that financialization has made each market more efficient but also created more arbitrage opportunities in spot‐futures markets at both benchmarks. The fracking revolution has fragmented oil markets but had little impact on EMH in individual markets or across markets.