Author(s)

Kashif Saleem, Osama Al-Hares

Faculty of Business, Department of Finance and Accounting, University of Wollongong in Dubai, Dubai, United Arab Emirates.

This paper examines the market efficiency of Energy Exchange-Traded Funds (ETFs) of both renewable and unrenewable energy ETFs. We adopt GARCH modelling approach to investigate the long-range dependence in ETFs volatility. Specifically, we estimate a FIGARCH model proposed by Baillie et al. (1996) using daily returns. We find evidence of long memory dependence in all ETFs, implying that, all the indexes under investigation are weak-form inefficient. The results also indicate that the volatility has a predictable structure in all the ETFs of both renewable and unrenewable energy ETFs, indicating the potential of diversification for the international investors.

Energy Exchange-Traded Funds, Market Efficiency, FIGARCH, Temporal Dependencies, Long Memory

Saleem, K. and Al-Hares, O. (2018) Measuring the Market Efficiency of Energy Exchange-Traded Funds (ETFS). Theoretical Economics Letters, 8, 1247-1256. doi: 10.4236/tel.2018.86082.