Seasonality in crude oil returns

This paper explores the efficiency issue of the oil market in order to test the seasonal behavior of oil price returns, specifically day-of-the-week effect and month-of-the-year effect for the period December 1987 to January 2016. We use a dummy variable regression estimation technique to test seaso...

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Veröffentlicht in:	Soft computing (Berlin, Germany) Germany), 2020-09, Vol.24 (18), p.13547-13556
Hauptverfasser:	Quayyoum, Sobia, Khan, Mushtaq Hussain, Shah, Syed Zulfiqar Ali, Simonetti, Biagio, Matarazzo, Michela
Format:	Artikel
Sprache:	eng
Schlagworte:	Artificial Intelligence Computational Intelligence Control Crude oil Crude oil prices Efficiency Efficient markets Energy economics Energy industry Energy research Engineering Focus Investment strategy Investments Investors Mathematical Logic and Foundations Mechatronics Robotics Scientometrics Seasonal variations Securities markets Stock exchanges Volatility
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