Empirical Evidence of Some Stylized Facts in International Crude Oil Markets

Research on the dynamic behavior of crude oil prices has become a hot issue in recent years. Currently the study of petroleum prices is largely based on the mainstream literature of financial markets whose fundamental assumption is that returns of stock prices follow a normal distribution and price behaviors obey a so-called random walk hypothesis. This notion was first introduced by Bachelier in 1900 [1], since then it has become the essence of many asset pricing models. However, daily financial time series also provide empirical evidence that there exist fundamentally different ubiquitous properties called “stylized facts,” such as fat-tailed distribution, volatility clustering, and scaling/multiscaling features [2–12]. Another important context in this domain is the efficient market hypothesis (EMH) proposed by Fama in [13] which states that stock prices already reflect all available information useful in evaluating their value. These hypotheses have been widely criticized in the financial literature.