Market efficiency across intra-daily sampling frequencies for Brent crude oil futures

We study market efficiency for high-frequency Brent Crude oil futures prices across intra-daily sampling frequencies ranging from one minute to two hours using a sample period from 2006 to 2021. The efficiency dynamics of Brent crude oil futures prices is scrutinized over time using rolling and recursive estimation windows. We also propose to study intra-daily market efficiency using a signature plot across sampling frequency. Our results show substantial differences in market efficiency at the intra-daily level. At very high sampling frequencies (less than 10 min), the market is on average inefficient. For lower sampling frequencies, efficiency in Brent oil futures generally improves, but we still document significant inefficiency for large parts of the examined sample period. • Market efficiency in Brent crude oil futures varies across intra-daily frequencies. • Inefficiencies are most pronounced at high frequencies below 10 min. • Efficiency improves at lower frequencies but remains inconsistent over time.