For the last fifty years, the efficient market hypothesis has been the central
pillar of economic thought and touted by all, despite Sanford Grossman’ and
Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the
efficient market hypothesis in 2004 to reconcile irrational human behavior and
cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH
regressions, and the Jensen-Shannon informational criteria to provide extensive
empirical objections to informational efficiency. The results demonstrate
continuously inefficient oil future markets which exhibit decreased informational
efficiency during recessionary periods, advocating the adaptive market
hypothesis over the efficient market hypothesis. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2016. / FAU Electronic Theses and Dissertations Collection
| Identifer | oai:union.ndltd.org:fau.edu/oai:fau.digital.flvc.org:fau_33712 |
| Contributors | Sagul, Ryan (author), Yuhn, Ky-hyang (Thesis advisor), Florida Atlantic University (Degree grantor), College of Business, Department of Economics |
| Publisher | Florida Atlantic University |
| Source Sets | Florida Atlantic University |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation, Text |
| Format | 48 p., application/pdf |
| Rights | Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder., http://rightsstatements.org/vocab/InC/1.0/ |
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