The impact of crude oil inventory announcements on prices: evidence from derivatives markets
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Ramchander, Sanjay, author | |
| dc.contributor.author | Wang, Tianyang, author | |
| dc.contributor.author | Yang, Jian, author | |
| dc.contributor.author | Journal of Futures Markets, publisher | |
| dc.date.accessioned | 2020-05-12T16:29:22Z | |
| dc.date.available | 2020-05-12T16:29:22Z | |
| dc.date.issued | 2017-02-03 | |
| dc.description | Includes bibliographical references (pages 28-29). | |
| dc.description | Published as: Journal of Futures Markets, vol. 38, no. 1, January 2018, pp. 38-65, https://doi.org/10.1002/fut.21850. | |
| dc.description.abstract | 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. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Miao, H., Ramchander, S., Wang, T., & Yang, J. (2018). The impact of crude oil inventory announcements on prices: Evidence from derivatives markets. Journal of Futures Markets, 38(1), 38–65. https://doi.org/10.1002/fut.21850 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206701 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2017 Wiley Periodicals, Inc. Author can archive pre-print. Author can archive post-print but subject to 2 years embargo restriction. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | crude oil | |
| dc.subject | futures | |
| dc.subject | options | |
| dc.subject | inventory | |
| dc.title | The impact of crude oil inventory announcements on prices: evidence from derivatives markets | |
| dc.type | Text |
Files
Original bundle
1 - 1 of 1