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Browsing Publications by Subject "crude oil"

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    ItemOpen Access
    Crude oil moments and PNG stock returns
    (Colorado State University. Libraries, 2014-04-24) Chatrath, Arjun, author; Miao, Hong, author; Ramchander, Sanjay, author; Energy Economics, publisher
    We examine the risk-neutral moments of crude oil and their relationship to stock returns in the Petroleum and Natural Gas (PNG) industry. We find substantial overlaps in the association between returns and S&P 500- and crude oil higher moments. Net of these overlaps, PNG stocks share a significant negative relationship with crude volatility and positive relationships with crude skewness and kurtosis. Large cap stocks and those with a history of hedging exhibit negative loadings on crude volatility. However, after controlling for S&P 500- and crude oil returns and their risk-neutral moments, there is little evidence that PNG stocks systematically and significantly price either S&P 500- or crude oil volatility. We document a weak pricing of crude skewness, but find no evidence for the pricing of the implied higher moments of market returns.
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    ItemOpen Access
    The impact of crude oil inventory announcements on prices: evidence from derivatives markets
    (Colorado State University. Libraries, 2017-02-03) Miao, Hong, author; Ramchander, Sanjay, author; Wang, Tianyang, author; Yang, Jian, author; Journal of Futures Markets, publisher
    This study examines the impact of weekly crude oil storage announcements on oil futures and options prices. We document evidence of a strong announcement day effect on both markets, and find prices to move in anticipation of the inventory surprise. Futures returns significantly decrease with positive surprises and increase with negative surprises. There is no evidence of an asymmetric impact on futures prices. Near‐the‐money options exhibit the greatest price sensitivity, and the magnitude of the price response of both futures and options declines with maturity. The results remain robust even after controlling for various macroeconomic and other storage‐related news variables.