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Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market
| Title: | Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market. |
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| Name(s): |
Sagul, Ryan, author Yuhn, Ky-hyang, Thesis advisor Florida Atlantic University, Degree grantor College of Business Department of Economics |
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| Type of Resource: | text | |
| Genre: | Electronic Thesis Or Dissertation | |
| Date Created: | 2016 | |
| Date Issued: | 2016 | |
| Publisher: | Florida Atlantic University | |
| Place of Publication: | Boca Raton, Fla. | |
| Physical Form: | application/pdf | |
| Extent: | 48 p. | |
| Language(s): | English | |
| Summary: | For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis. | |
| Identifier: | FA00004730 (IID) | |
| Degree granted: | Thesis (M.S.)--Florida Atlantic University, 2016. | |
| Collection: | FAU Electronic Theses and Dissertations Collection | |
| Note(s): | Includes bibliography. | |
| Subject(s): |
Capital market -- Psychological aspects Energy industries -- Risk management Financial risk management -- Mathematical models Futures Investment analysis Petroleum industry and trade -- Economic aspects Stocks -- Mathematical models |
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| Held by: | Florida Atlantic University Libraries | |
| Sublocation: | Digital Library | |
| Links: | http://purl.flvc.org/fau/fd/FA00004730 | |
| Persistent Link to This Record: | http://purl.flvc.org/fau/fd/FA00004730 | |
| Use and Reproduction: | Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder. | |
| Use and Reproduction: | http://rightsstatements.org/vocab/InC/1.0/ | |
| Host Institution: | FAU | |
| Is Part of Series: | Florida Atlantic University Digital Library Collections. |
