2007 Krizi sonrasında petrol fiyatları üzerine bir analiz

Bu çalışmada amaç 2007 krizi sonrasında ham petrol fiyatlarında ortaya çıkan değişimlerin bir kalıcılık özelliği gösterip göstermediğinin analizini yapmaktır. Bu amaçla ele alınan petrol fiyatları zaman serisi üzerinde ortaya çıkan değişimlerin kalıcılık özelliği gösterip göstermediği uzun hafıza yöntemlerinden ve Hinich- Chong yaklaşımlarıyla test edilmiştir. Uygulama sonuçlarına göre ham petrol fiyatlarına ait serinin uzun bellek özelliğine sahip olmadığı sonucuna ulaşılmıştır. Bundan dolayı bu fiyatlar zayıf veya yarı güçlü etkin bir piyasanın göstergeleridir. Zayıf veya yarı güçlü etkin bir piyasa yapının varlığı spekülatif getiri fırsatlarının ortadan kalktığını göstermektedir.

An analysis on oil prices after 2007 crisis

The aim of this work is to investigate the volatility of crude oil prices after the 2007 crisis to analyze the characteristic of price movements, i.e. whether the changes in price movements are permanent or not. In order to test the attributes of crude oil price movements the two major long memory approaches are (Geweke Porter-Hudak and Hinich-Chong) applied simultaneously. Depending on the empirical findings, it is concluded that the time series of crude oil prices do not have a long memory attribute. For this reason, the crude oil prices could be indicator of a weakly (semi-strong) efficient market. This could be a sign of speculative returns to be way out with the presence of a weakly efficient market structure.

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