Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events
This study analyzes the market efficiency of crude oil markets, namely Brent and West Texas Intermediate (WTI), during three different periods: pre-COVID-19, during the COVID-19 pandemic, and during the ongoing Russia–Ukraine military conflict. To evaluate the efficiency of crude oil markets, wavele...
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MDPI AG
2025-03-01
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| Series: | Commodities |
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| Online Access: | https://www.mdpi.com/2813-2432/4/2/4 |
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| author | Salim Lahmiri |
| author_facet | Salim Lahmiri |
| author_sort | Salim Lahmiri |
| collection | DOAJ |
| description | This study analyzes the market efficiency of crude oil markets, namely Brent and West Texas Intermediate (WTI), during three different periods: pre-COVID-19, during the COVID-19 pandemic, and during the ongoing Russia–Ukraine military conflict. To evaluate the efficiency of crude oil markets, wavelet entropy is computed from price, return, and volatility series. Our empirical results show that WTI prices are predictable during the Russia–Ukraine military conflict, but Brent prices are difficult to predict during the same period. The prices of Brent and WTI were difficult to predict during the COVID-19 pandemic. Returns in Brent and WTI are more difficult to predict during the military conflict than they were during the pandemic. Finally, volatility in Brent and WTI carried more information during the pandemic compared to the military conflict. Also, volatility series for Brent and WTI are difficult to predict during the military conflict. These findings offer insightful information for investors, traders, and policy makers in relation to crude oil energy under various extreme market conditions. |
| format | Article |
| id | doaj-art-5379db38edc44f0184498ec95b9dea26 |
| institution | Kabale University |
| issn | 2813-2432 |
| language | English |
| publishDate | 2025-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Commodities |
| spelling | doaj-art-5379db38edc44f0184498ec95b9dea262025-08-20T03:26:56ZengMDPI AGCommodities2813-24322025-03-0142410.3390/commodities4020004Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme EventsSalim Lahmiri0Supply Chain and Business Technology Management Department, John Molson School of Business, Concordia University, Montreal, QC H3H 0A1, CanadaThis study analyzes the market efficiency of crude oil markets, namely Brent and West Texas Intermediate (WTI), during three different periods: pre-COVID-19, during the COVID-19 pandemic, and during the ongoing Russia–Ukraine military conflict. To evaluate the efficiency of crude oil markets, wavelet entropy is computed from price, return, and volatility series. Our empirical results show that WTI prices are predictable during the Russia–Ukraine military conflict, but Brent prices are difficult to predict during the same period. The prices of Brent and WTI were difficult to predict during the COVID-19 pandemic. Returns in Brent and WTI are more difficult to predict during the military conflict than they were during the pandemic. Finally, volatility in Brent and WTI carried more information during the pandemic compared to the military conflict. Also, volatility series for Brent and WTI are difficult to predict during the military conflict. These findings offer insightful information for investors, traders, and policy makers in relation to crude oil energy under various extreme market conditions.https://www.mdpi.com/2813-2432/4/2/4crude oilBrentWTIwavelet entropyShannon entropyCOVID-19 pandemic |
| spellingShingle | Salim Lahmiri Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events Commodities crude oil Brent WTI wavelet entropy Shannon entropy COVID-19 pandemic |
| title | Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events |
| title_full | Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events |
| title_fullStr | Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events |
| title_full_unstemmed | Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events |
| title_short | Wavelet Entropy for Efficiency Assessment of Price, Return, and Volatility of Brent and WTI During Extreme Events |
| title_sort | wavelet entropy for efficiency assessment of price return and volatility of brent and wti during extreme events |
| topic | crude oil Brent WTI wavelet entropy Shannon entropy COVID-19 pandemic |
| url | https://www.mdpi.com/2813-2432/4/2/4 |
| work_keys_str_mv | AT salimlahmiri waveletentropyforefficiencyassessmentofpricereturnandvolatilityofbrentandwtiduringextremeevents |