in this paper, the random walk hypothesis and the opec oil market efficiency have been examined. the random walk hypothesis states that prices are completely stochastic in nature so that they have 'no memory'. in its weak-form, changes in prices occur stochastically and, as a result, the random walk behavior of prices is usually used to test the weak-form efficiency. in order to study the rando...

This study estimates three hypotheses of OPEC behavior: market-sharing, target revenue and competitive model for the period 1980 to 2000 for all OPEC courtiers except Iraq. To examine co-integration relation for oil production, we use ADF test in OLS estimation. Also we use ARDL approach to examine these hypotheses and the long run relationship of them. Results indicate none of three hypotheses...

Abstract We analyse the behaviour of OPEC as a group by formulating theoretical model that encompasses perfect competition and various forms imperfect model. By confronting with quarterly data for period from 1992 to 2013 within context cointegrated vector autoregressive (CVAR) model, we find support hypothesis regarding output decisions OPEC. also dynamic equilibrium correction is stable in-sa...

This paper uses annual data on world oil price and consumption from 1965 to 2006 to calibrate a Hotelling model of optimal nonrenewable resource extraction. Numerical solutions are generated for various specifications of the elasticity of demand for both isoelastic demand and linear demand under each of two possible market structures: perfect competition and monopoly. Prior to the 1973 oil cris...

The United Nations Framework Convention on Climate Change and its Kyoto Protocol require Parties to take measures to minimise the adverse effects of climate change on vulnerable countries including small island states. In negotiations the Alliance of Small Island States (AOSIS) argue that this should mean assistance for capacity building and transfer of technologies to help them adapt to a chan...

This thesis has as main aims: • analyzing the effects of nonlinearities and stochasticity on price dynamics of assets, in general, • modeling the price dynamics of oil, as a special commodity, • determining option prices and optimal hedging strategies for commodities like oil. In many economic and financial processes mathematical modeling leads to nonlinear and stochastic dynamical systems. The...