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    An analysis of intraday market response to crude oil inventory shocks

    Geman, Hélyette and Li, Z. (2018) An analysis of intraday market response to crude oil inventory shocks. Journal of Energy Markets 11 (2), pp. 1-35. ISSN 1756-3607.

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    Abstract

    The paper investigates the intraday market activity of WTI crude oil futures around the release of the US Energy Intelligence Agency (EIA) report and how prices respond to inventory shocks. The paper also examines the impacts of belief dispersion, calendar effect, and the oil price movement between the releases of API and EIA reports. Market activity, in terms of price return, volatility, and trading volume, responds to inventory shock very quickly and lasts for about 25 minutes. Our results suggest that a positive (negative) inventory shock will result in an immediate price decline (rise), while both of them increase volatility and trading volume; but the price reverts quickly after the initial reaction. Moreover, wider belief dispersion is associated with a larger market response to inventory shock. Lastly, we discuss some intraday trading strategies on EIA report days.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): inventory shock, EIA report, WTI futures, price reversal, intraday trading
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Research Centres and Institutes: Commodities Finance Centre
    Depositing User: Helyette Geman
    Date Deposited: 04 Mar 2020 12:44
    Last Modified: 02 Aug 2023 17:58
    URI: https://eprints.bbk.ac.uk/id/eprint/31107

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