자격시험 응시 시 기본적인 논문 Draft 1편 이상 제출

[2019-11] Impact of the Global Financial Crisis on the Crude Oil Market

  • 운영자
  • 날짜 2019.11.14
  • 조회수 1,738

[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


SNS Share 페이스북 공유하기트위터 공유하기카카오스토리 공유하기네이버 공유하기