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| Author: | Panas, E. |
| Title: | A weak form evaluation of the efficiency of the Rotterdam and Italian oil spot markets. |
| Journal: | Energy Economics
1991 : JAN, VOL. 13:1, p. 26-32 |
| Index terms: | OIL PRICES COMMODITY MARKETS ITALY NETHERLANDS |
| Language: | eng |
| Abstract: | The stochastic properties of spot oil products prices were investigated with the aim to test whether the log changes of spot oil prices conformed to an efficient market model and to examine the distributions of these price changes. Nine sets of test have been applied to study the evolution of spot product prices in Rotterdam and Italy. The objective was to investigate the leptokurticy in observed distributions of log price changes. The stable Paretoian distributions have been used to test the leptokurtic distributions. The results indicate that the distributions of the studied 14 time series of oil spot prices are not normal. |
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