Data for: Time-varying long range dependence in energy futures markets

Abstract of associated article: This study aims to investigate the presence of long-range dependence in energy futures markets. Using a daily dataset covering from 1990 to 2013 (which includes crucial events for energy markets such as invasion of Iraq and global financial crisis of 2008), we estimate time-varying generalized Hurst exponents of several energy futures contracts with different times to maturity using a rolling window approach. Results reveal that efficiency of energy futures markets is clearly time-varying and changes drastically over the sample period. For futures contracts with 1–4months to maturities, crude oil and gasoline are found to be more efficient compared to others. On the other hand, for contracts with 5–9months to maturities, crude oil and natural gas futures are more efficient. For almost every different month to maturity, heating oil and gas oil futures are found to be the least efficient markets. Moreover in general, the efficiency of energy futures markets is found to be decreasing dramatically when time to maturity is increasing. Several implications are discussed.

相关研究论文摘要：本研究旨在探究能源期货市场中的长记忆性（long-range dependence）。本研究采用1990年至2013年的日度数据集，该时段涵盖了伊拉克入侵、2008年全球金融危机等能源市场重大事件。我们采用滚动窗口法（rolling window approach），对多组不同到期期限的能源期货合约的时变广义Hurst指数（time-varying generalized Hurst exponents）进行估算。研究结果表明，能源期货市场的有效性具有显著的时变特征，在样本期内发生了剧烈波动。对于到期期限为1至4个月的期货合约，原油与汽油期货的市场有效性显著高于其他品类；另一方面，对于到期期限为5至9个月的合约，原油与天然气期货的市场有效性更高。几乎在所有到期期限组别中，取暖油与柴油期货的市场有效性均为最低。此外总体而言，能源期货市场的有效性随合约到期期限的延长呈现显著下降趋势。本研究还对多项实践启示进行了探讨。