Market efficiency of the crude palm oil: Evidence from quantum harmonic oscillator

Abstract

This study examines the weak-form efficient market hypothesis of the crude palm oil market by adopting the quantum harmonic oscillator. This approach allows us to analyze market efficiency by estimating one parameter: the probability of finding the market in a ground state. Our results confirm that the crude palm oil market is more efficient than the West Texas Intermediate crude oil market. We explain the greater market efficiency comes from a small proportion of speculative transactions, resulting from tight market operation policies.