Impact of the global financial crisis on the crude oil marketopen access
- Joo, Kyohun; Suh, Jong Hwan; Lee, Daeyong; Ahn, Kwangwon
- Issue Date
- Financial crisis; Crude oil market; Market efficiency; Equilibrium; Collective phenomena
- ENERGY STRATEGY REVIEWS, v.30
- Journal Title
- ENERGY STRATEGY REVIEWS
- This study examines the effect of the 2008 global financial crisis on the crude oil market. We use the Hurst exponent, Shannon entropy, and the scaling exponent to characterize the changes in the oil market properties (i. e., efficiency, long-term equilibrium, and collective phenomena) caused by the financial crisis. Although volatility in the oil market remained the same after the crisis, we find that the crisis altered the scale-invariant property of the oil market, and it also negatively influenced market properties in terms of efficiency and longterm equilibrium. Accordingly, we propose (1) to introduce tight market regulation requesting a transaction report for sizable trades and (2) to incentivize investors to provide accurate information.
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- College of Business Administration > Department of Management Information Systems > Journal Articles
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