Informational Efficiency of World Oil Markets: One Great Ocean, but not all Seas are alike

This paper investigates the informational efficiency of global crude oil markets using a recently introduced quantitative measure for market inefficiency. The methodology evaluates the deviation of observed oil price behavior from the Random Walk benchmark, which represents an efficient market. Key findings include: (1) crude oil market inefficiency varies over time, (2) inefficiency significantly increases during extreme episodes such as the price downturns in 2008, 2014, and early 2020, and (3) inefficiency levels vary notably across regional crude oil markets before 2006 but converge thereafter. This convergence, indicative of more similar price behavior across markets post-2006, links the literature on oil market integration with studies on the informational efficiency of oil prices.

In CESifo Working Paper and Energy (under review)