[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
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