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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An Analysis of Intraday shocks in the oil market.pdf - Author's Accepted Manuscript Restricted to Repository staff only Download (1MB) | Request a copy |
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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