Advanced Search
MyIDEAS: Login to save this article or follow this journal

The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective

Contents:

Author Info

  • Demirer, RIza
  • Kutan, Ali M.

Abstract

This paper examines the informational efficiency of crude oil spot and futures markets with respect to OPEC conference and U.S. Strategic Petroleum Reserve (SPR) announcements. We employ the event study methodology to examine the abnormal returns in crude oil spot and futures markets around OPEC conference and SPR announcement dates between 1983 and 2008. Our findings regarding OPEC announcements indicate an asymmetry in that only OPEC production cut announcements yield a statistically significant impact with the impact diminishing for longer maturities. We also find that the persistence of returns following OPEC production cut announcements creates substantial excess returns to investors who take long positions on the day following the end of OPEC conferences. In the case of SPR announcements, we find that the government's use of this program initiates a short-run market reaction following the announcement date. Furthermore, our tests of cumulative abnormal returns suggest that the market reacts efficiently to SPR announcements providing support for the use of the strategic reserves as a tool to stabilize the oil market. Our findings have significant policy implications for investors and are useful in designing effective energy policy strategies.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V7G-509B28K-2/2/b18f01ba2e8f101d902d0d1269e4de07
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 32 (2010)
Issue (Month): 6 (November)
Pages: 1467-1476

as in new window
Handle: RePEc:eee:eneeco:v:32:y:2010:i:6:p:1467-1476

Contact details of provider:
Web page: http://www.elsevier.com/locate/eneco

Related research

Keywords: Crude oil OPEC Strategic petroleum reserves Futures markets Event study Energy policy;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
  2. Kalyuzhnova, Yelena, 2005. "The EU and the Caspian Sea region: An energy partnership?," Economic Systems, Elsevier, vol. 29(1), pages 59-76, March.
  3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  4. Binder, John J, 1998. " The Event Study Methodology since 1969," Review of Quantitative Finance and Accounting, Springer, vol. 11(2), pages 111-37, September.
  5. Martin Petri & Günther Taube, 2003. "Fiscal Policy Beyond the Budget : Quasi-Fiscal Activities in the Energy Sectors of the Former Soviet Union," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 39(1), pages 24-42, January.
  6. Hyndman, Kyle, 2008. "Disagreement in bargaining: An empirical analysis of OPEC," International Journal of Industrial Organization, Elsevier, vol. 26(3), pages 811-828, May.
  7. Stephen M. Horan, Jeffrey H. Peterson, and James Mahar, 2004. "Implied Volatility of Oil Futures Options Surrounding OPEC Meetings," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 103-126.
  8. Dibooglu, Sel & AlGudhea, Salim N., 2007. "All time cheaters versus cheaters in distress: An examination of cheating and oil prices in OPEC," Economic Systems, Elsevier, vol. 31(3), pages 292-310, September.
  9. Hengyun Ma & Les Oxley, 2009. "China’s Energy Economy: A Survey of the Literature," Working Papers in Economics 09/02, University of Canterbury, Department of Economics and Finance.
  10. Timothy J. Considine, 2006. "Is the Strategic Petroleum Reserve our Ace in the Hole?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 91-112.
  11. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
  12. Robert Savickas, 2003. "Event-Induced Volatility and Tests for Abnormal Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(2), pages 165-178.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Charles, Amélie & Darné, Olivier, 2014. "Volatility persistence in crude oil markets," Energy Policy, Elsevier, vol. 65(C), pages 729-742.
  2. Walid Mensi & Shawkat Hammoudeh & Duc Khuong Nguyen & Seong-Min Yoon, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Working Papers 2014-160, Department of Research, Ipag Business School.
  3. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process," Energy Economics, Elsevier, vol. 42(C), pages 343-354.
  4. Keisaku Higashida & Yasuhiro Takarada, 2012. "Does the Acquisition of Mines Benefit Resource-Importing Countries?," Discussion Paper Series 86, School of Economics, Kwansei Gakuin University, revised Mar 2012.
  5. Lazarczyk, Ewa, 2013. "Market Specific News and Its Impact on Electricity Prices – Forward Premia," Working Paper Series 953, Research Institute of Industrial Economics, revised 20 Aug 2013.
  6. Liu, Li & Wan, Jieqiu, 2011. "A study of correlations between crude oil spot and futures markets: A rolling sample test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3754-3766.
  7. Bangzhu Zhu & Shujiao Ma & Julien Chevallier & Yiming Wei, 2014. "Examining the structural changes of European carbon futures price 2005- 2012," Working Papers 2014-422, Department of Research, Ipag Business School.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:32:y:2010:i:6:p:1467-1476. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.