Time varying market efficiency in the Brent and WTI crude market

This paper examines time-varying market efficiency in the crude oil spot market using a recently derived measure of market efficiency: the Adjusted Market Inefficiency Model (AMIM). Analysing efficiency in the crude oil market, and its response to significant events within the global financial and commodity market, we identify that the Brent market is on average more efficient than the West Texas Intermediate (WTI). We also find that the WTI market is persistently inefficient during financial crises, with high volatility of the efficiency in such periods. In addition to confirming the adaptive market hypothesis, this study offers a new perspective by highlighting the non-uniform response of efficiency in similar markets to global events.