TY - JOUR
T1 - Persistency of price patterns in the international oil industry, 2001-2016
AU - Jiménez-Preciado, Ana Lorena
AU - Cruz-Aké, Salvador
AU - Venegas-Martínez, Francisco
N1 - Publisher Copyright:
© 2017, Econjournals. All rights reserved.
PY - 2017
Y1 - 2017
N2 - This paper is aimed at studying price patterns and their persistency in selected international oil companies (Exxon Mobil, British Petroleum, Royal Dutch Shell, and China Petroleum Sinopec). The proposal uses a one-step counting of price patterns and a two-step counting derived from transition probabilities of price patterns both procedures based on Japanese candlesticks. An extension of Kolmogorov–Smirnov test for discrete variables, provided by Taylor and Emerson (2011), is used to measure the statistical significance of the obtained results. Furthermore, the persistence of patterns is examined via the correlation in two-step conditional probabilities by using Blomqvist’s beta test. This method is useful to identify patterns even under market booms and busts, and in high and low volatility environments.
AB - This paper is aimed at studying price patterns and their persistency in selected international oil companies (Exxon Mobil, British Petroleum, Royal Dutch Shell, and China Petroleum Sinopec). The proposal uses a one-step counting of price patterns and a two-step counting derived from transition probabilities of price patterns both procedures based on Japanese candlesticks. An extension of Kolmogorov–Smirnov test for discrete variables, provided by Taylor and Emerson (2011), is used to measure the statistical significance of the obtained results. Furthermore, the persistence of patterns is examined via the correlation in two-step conditional probabilities by using Blomqvist’s beta test. This method is useful to identify patterns even under market booms and busts, and in high and low volatility environments.
KW - Oil industry
KW - Persistent price patterns
KW - Transition probabilities
UR - http://www.scopus.com/inward/record.url?scp=85010021663&partnerID=8YFLogxK
M3 - Artículo
SN - 2146-4553
VL - 7
SP - 9
EP - 18
JO - International Journal of Energy Economics and Policy
JF - International Journal of Energy Economics and Policy
IS - 1
ER -