[2019-11]

Impact of the Global Financial Crisis on the Crude Oil Market

Joo, Kyohun
Moon Soul Graduate School of Future Strategy, KAIST

Suh, Jonghwan
Department of Management Information System, Gyeongsang National University

Lee, Daeyong
Department of Human Development & Family Studies, Iowa State University

Ahn, Kwangwon
Department of Industrial Engineering, Yonsei University

Abstract
The present study examines the effect of global financial crisis on the crude oil market. To
characterize the changes in the oil market properties (i.e., market efficiency, long-term
equilibrium, and collective phenomena) by the financial crisis, we use the Hurst exponent,
Shannon entropy, and scaling exponent. Although oil market volatility after the crisis remained at the same level as before, we find the scale invariant property of oil market was altered after the financial crisis, and it has negatively influenced market properties in terms of efficiency and long-term equilibrium.

Keywords: Financial crisis; Crude oil market; Market efficiency; Equilibrium; Scaling exponent