Examining the non-linear stochastic behavior of the European energy market: evidence from nonlinear unit root tests

dc.authorid Omay, Tolga/0000-0003-0263-2258
dc.authorid Aktan, Ceyda/0000-0001-7040-4711
dc.authorid sahin, eyyup ensari/0000-0003-2110-7571
dc.authorscopusid 57205210993
dc.authorscopusid 23978235900
dc.authorscopusid 57234734200
dc.contributor.author Aktan, Ceyda
dc.contributor.author Omay, Tolga
dc.contributor.author Sahin, Eyyup Ensari
dc.contributor.other Economics
dc.date.accessioned 2024-07-05T15:24:08Z
dc.date.available 2024-07-05T15:24:08Z
dc.date.issued 2022
dc.department Atılım University en_US
dc.department-temp [Aktan, Ceyda] Univ Turkish Aeronaut Assoc, Fac Business Adm, Dept Management Informat Syst, Okul St 11, TR-06790 Ankara, Turkey; [Omay, Tolga] Atilim Univ, Fac Business, Dept Econ, Ankara, Turkey; [Sahin, Eyyup Ensari] Hitit Univ, Fac Econ & Adm Sci, Dept Banking & Finance, Corum, Turkey en_US
dc.description Omay, Tolga/0000-0003-0263-2258; Aktan, Ceyda/0000-0001-7040-4711; sahin, eyyup ensari/0000-0003-2110-7571 en_US
dc.description.abstract Stock market efficiency has been one of the most investigated topics of the last century. Knowing the efficiency of a market has major implications for both investors and policymakers, as a perfectly efficient market eliminates any arbitrage opportunity and the possibility of actually beating the market. For this reason, this study aims to examine the weak-form market efficiency of the European energy markets using linear and nonlinear unit root tests for the period covering February 2012 to April 2021. The results indicated that while the Augmented Dickey-Fuller test captured the stationarity in only Austria's Oil, and Gas index, using nonlinear tests showed stationarity in 17 of the 20 indices tested. Overall, the European Energy Market can be considered inefficient under the weak form of the Efficient Market Hypothesis. Therefore, there is an indication of profitable arbitrage opportunities among energy stocks. Signs of stationarity also suggest that shocks to energy stocks will have temporary effects. Energy markets of Austria, Finland, France, Greece, Italy, Netherlands, Russia, Spain, Sweden, and the United Kingdom, for this reason, could benefit from policy changes to support increased information flow to achieve more transparency and utilize better trading technologies. en_US
dc.identifier.citationcount 2
dc.identifier.doi 10.1080/15567249.2022.2118900
dc.identifier.issn 1556-7249
dc.identifier.issn 1556-7257
dc.identifier.issue 1 en_US
dc.identifier.scopus 2-s2.0-85138011017
dc.identifier.scopusquality Q2
dc.identifier.uri https://doi.org/10.1080/15567249.2022.2118900
dc.identifier.uri https://hdl.handle.net/20.500.14411/2395
dc.identifier.volume 17 en_US
dc.identifier.wos WOS:000850893100001
dc.identifier.wosquality Q3
dc.institutionauthor Omay, Tolga
dc.language.iso en en_US
dc.publisher Taylor & Francis inc en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.scopus.citedbyCount 3
dc.subject Market efficiency en_US
dc.subject efficient market hypothesis en_US
dc.subject European energy market en_US
dc.subject nonlinear unit root tests en_US
dc.title Examining the non-linear stochastic behavior of the European energy market: evidence from nonlinear unit root tests en_US
dc.type Article en_US
dc.wos.citedbyCount 3
dspace.entity.type Publication
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