Department of Banking and Finance, Faculty of Business and Economics, Eastern Mediterranean University, Famagusta, North Cyprus via Mersin 10, Turkey.
Environ Sci Pollut Res Int. 2020 Dec;27(36):45539-45554. doi: 10.1007/s11356-020-09887-7. Epub 2020 Aug 15.
Energy stocks have become an essential segment of the investment portfolios of both households and institutional investors. This study investigates the dynamic aspect of evolving weak-form efficiency in six energy stock markets: those of the United States (US), Canada, China, Australia, India, and Saudi Arabia. The generalized autoregressive conditionally heteroskedastic in the mean GARCH-M(1,1) method is applied, alongside the state-space time-varying approaches with the Kalman filter estimation, to detect the evolving efficiency for periods ending in November 2019. The empirical results reveal that the studied markets undergo various extents of time-varying efficiency, containing periods of efficiency enhancement as well as periods of deviation from efficiency. Meanwhile, the 2007-2009 global financial crisis and the 2015 changes in the energy sector-in addition to other contemporaneous crises-have a profound influence on the timeline of market efficiency evolution. Overall, all of the markets gradually became more efficient, apart from India's energy market as a result of the current energy crisis in India. Amid the energy markets explored in this study, the US energy market was found to be the most efficient.
能源股已成为家庭和机构投资者投资组合的重要组成部分。本研究调查了六个能源股票市场（美国、加拿大、中国、澳大利亚、印度和沙特阿拉伯）弱形式有效性演变的动态方面。应用广义自回归条件异方差均值 GARCH-M(1,1) 方法，以及带有卡尔曼滤波估计的状态空间时变方法，以检测截至 2019 年 11 月的演变效率。实证结果表明，所研究的市场经历了不同程度的时变效率，其中包括效率提高的时期和偏离效率的时期。同时，2007-2009 年全球金融危机和 2015 年能源部门的变化（除其他同期危机外）对市场效率演变的时间线产生了深远影响。总体而言，除了印度能源市场因印度当前的能源危机外，所有市场都逐渐变得更加有效。在本研究中探索的能源市场中，美国能源市场被发现是最有效的。
