اختبار كفاءة اسواق النفوط الخام العالمية وبيان امكانية بناء محفظة مثلى منها على وفق المدخلين الساذج والحديث

RP- Testing the efficiency of International crude oil markets and demonstrating the possibility and optimal portfolio of them of constructing .pdf

This study focused on one of the most important topics in economic and financial studies, which is the crude oil industry, which is an active target for researchers recently due to the amount of complexity accompanying the industry and markets of crude oil and its prices that vary incomprehensibly from time to time. Crude oil markets are described as very complex markets. Crude oil is one of the most volatile commodities. Crude oil prices, like any other commodity, have shown severe variations (fluctuations) at many times, especially since crude oil prices are strongly affected by many factors of multiple origins, especially economic, geopolitical and environmental factors. It is certain that these fluctuations lead to a state of turmoil and uncertainty about the future of supply and demand, which encourages an increasing desire for speculation, sometimes accompanied by bouts of panic that have severe and devastating effects on all economies, whether importing or exporting. Previous research and literature have focused on the dynamics of crude oil prices, with special attention to the question of whether the time series of its price returns is randomly changing or whether someone controls it. One of the most discussed topics is information efficiency due to oil price fluctuations, which greatly affect the work of most economic sectors at various levels and through different channels. In addition, testing market efficiency has major effects on crude oil markets. The level of market efficiency determines the analysis approaches and trading strategies that should be adopted, and this in turn determines the course of economic and financial policies and various other plans of governments and policy makers in the market for countries exporting and importing crude oils. Most importantly, it determines the path of investors in building their optimal portfolios.
Hence the importance of the current study emerged, represented by an attempt to test the efficiency of the crude oil market and determine whether its returns follow a random path and within the framework of linear and nonlinear models, and to demonstrate the possibility of building the optimal international crude oil portfolio under the naive and modern approaches. In addition, to determine whether the optimal portfolio across markets can be used to hedge the risk of volatility or the possibility of mitigating or reducing it and providing stable returns to market participants.
This necessitated conducting a detailed analysis of the nature of the work of crude oil markets and explaining how to apply the investment portfolio theory, starting with the naive approach based on numbers and random selection and ending with the modern approach with both parts. The original approach represented by Markowitz’s approach and the simplistic one is the simple grading method. The purpose behind this is to demonstrate the possibility of building the optimal international oil crude portfolio across different markets. The study sample consisted of (53) different international crude oils distributed over (12) countries, in addition to the global crude oil market index. The period of the study extended from (January 2004 – February 2024), and after using mathematical, statistical and financial methods, the study concluded with a set of conclusions, the most important of which are:
The inefficiency of global crude oil markets is weak according to linear and nonlinear tests, and that there is a possibility to build the optimal international crude oil portfolio by using the modern approach, especially Markowitz.
Based on this, the study recommended that investors and policy makers wishing to hedge against the risks of fluctuations in crude oil markets use modern portfolio theory within the framework of the Markowitz model and according to the (GRG) algorithm and the simple staging method, as both models showed great efficiency in reducing the amount of risk, with the superiority of the Markowitz model under the (GRG) algorithm across various international crude oil markets.