Speaker’s Profile:
Syed Aun R. Rizvi joined Suleman Dawood School of Business at Lahore University of Management Sciences (LUMS) in 2016. Previously Aun had served University of Nottingham as an Assistant Professor for two years where he contributed towards establishing the Centre for Islamic Business and Finance Research (CIBFR) at University of Nottingham Malaysia Campus. Aun holds a Ph.D. in Islamic Finance from INCEIF (Malaysia).
His research interest focuses on financial markets, Islamic finance, and Econophysics. His research particularly focuses on equity markets in emerging and Islamic countries. He has published in leading mainstream journals in the area of finance and economics like, Pacific-Basin Finance Journal, Emerging Markets Review, Economic Systems, and Physica A amongst others. Aun is also currently serving as a series editor of CIBFR Palgrave Studies in Islamic Finance.
Abstract:
The objective is to investigate whether crude oil markets are efficient in the weak form during different economic regimes over multi-scales. Using Brent crude oil prices for over 20 years, the results from different sub-samples provides evidence that in the shorter horizon component, there is a tendency towards improving efficiency across every expansion post-recession and this trend in the longer term component is violated during the global recovery of post 2010. We find that the benchmark Brent crude oil prices is weak-form efficient implying low predictability levels of prices. As a robustness check, we reassess the data in three different ways. (1) The data is reanalysed under a different order q, where results hold, (2) the analysis is repeated for weekly data, and results conform, and lastly (3) seven other oil prices benchmarks are used, and the general results conform to those for Brent crude oil.
