Note
Includes bibliography.
Member of
Contributors
Publisher
Florida Atlantic University
Date Issued
2016
EDTF Date Created
2016
Description
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.
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.
Language
Type
Form
Extent
48 p.
Subject (Topical)
Identifier
FA00004730
Additional Information
Includes bibliography.
Thesis (M.S.)--Florida Atlantic University, 2016.
FAU Electronic Theses and Dissertations Collection
Date Backup
2016
Date Created Backup
2016
Date Text
2016
Date Created (EDTF)
2016
Date Issued (EDTF)
2016
Extension
FAU
IID
FA00004730
Organizations
Attributed name: Florida Atlantic University
Attributed name: College of Business
Attributed name: Department of Economics
Person Preferred Name
Sagul, Ryan
author
Graduate College
Physical Description
application/pdf
48 p.
Title Plain
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market
Use and Reproduction
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Origin Information
2016
2016
Florida Atlantic University
Boca Raton, Fla.
Physical Location
Florida Atlantic University Libraries
Place
Boca Raton, Fla.
Sub Location
Digital Library
Title
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market
Other Title Info
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market