Mathematics and Computer Science, Volume 1

6A Statistical Characterization of MCX Crude Oil Price with Regard to Persistence Behavior and Seasonal Anomaly

Anindita Bhattacharjee¹*, Jaya Mamta Prosad² and M.K. Das³

¹Symbiosis Centre for Management Studies NOIDA, Symbiosis International (Deemed University), Pune, India

²Amity College of Commerce and Finance, Amity University, Noida, U.P., India

³Institute of Informatics and Communication, University of Delhi, South Campus, New Delhi, India

Abstract

The chapter investigates long-term persistence behavior followed by seasonal anomaly in MCX crude oil returns. Daily return data for the period of 2009 to 2018 is considered for this study. Hurst exponent is computed and used as an indicator of persistence behavior. The data is found to have long range correlation. Return distribution of asset price is leptokurtic which recovers Gaussianity with a lag of 550 days. Additionally, on analyzing the cumulative monthly returns, distinct seasonal patterns were observed for summer and winter months indicating seasonal anomaly that contradicts efficient market hypothesis. This finding has been further utilized to devise suitable investment strategies that may guide investors to gain better return in the crude oil market.

Keywords: Persistence, MCX crude oil, Hurst exponent, power law, seasonal anomaly, efficient market hypothesis

6.1 Introduction

Volatility and time series characteristics are two defining features of stock market data. While, a lot of research work has been done in ...