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How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process

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Cited by:

  1. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
  2. Jaco P. Weideman & Roula Inglesi-Lotz, 2016. "Structural Breaks in Renewable Energy in South Africa: A Bai and Perron Break Test Application," Working Papers 201636, University of Pretoria, Department of Economics.
  3. Smyth, Russell & Narayan, Paresh Kumar, 2015. "Applied econometrics and implications for energy economics research," Energy Economics, Elsevier, vol. 50(C), pages 351-358.
  4. Tiwari, Aviral Kumar & Umar, Zaghum & Alqahtani, Faisal, 2021. "Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach," Research in International Business and Finance, Elsevier, vol. 57(C).
  5. Sheng, Xin & Gupta, Rangan & Salisu, Afees A. & Bouri, Elie, 2022. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning," Finance Research Letters, Elsevier, vol. 45(C).
  6. Demirer, Riza & Gupta, Rangan & Suleman, Tahir & Wohar, Mark E., 2018. "Time-varying rare disaster risks, oil returns and volatility," Energy Economics, Elsevier, vol. 75(C), pages 239-248.
  7. Ewing, Bradley T. & Malik, Farooq, 2017. "Modelling asymmetric volatility in oil prices under structural breaks," Energy Economics, Elsevier, vol. 63(C), pages 227-233.
  8. Amanjot Singh, 2018. "A Note on Conditional Variance and Decaying Rate: Chinese Equity Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 595-611, June.
  9. Mensi, Walid & Nekhili, Ramzi & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 73-96.
  10. Ghassan, Hassan Belkacem & AlHajhoj, Hassan Rafdan, 2016. "Long run dynamic volatilities between OPEC and non-OPEC crude oil prices," Applied Energy, Elsevier, vol. 169(C), pages 384-394.
  11. Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018. "Oil returns and volatility: The role of mergers and acquisitions," Energy Economics, Elsevier, vol. 71(C), pages 62-69.
  12. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
  13. Ewing, Bradley T. & Malik, Farooq, 2016. "Volatility spillovers between oil prices and the stock market under structural breaks," Global Finance Journal, Elsevier, vol. 29(C), pages 12-23.
  14. Ciarreta, Aitor & Pizarro-Irizar, Cristina & Zarraga, Ainhoa, 2020. "Renewable energy regulation and structural breaks: An empirical analysis of Spanish electricity price volatility," Energy Economics, Elsevier, vol. 88(C).
  15. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
  16. Klein, Tony, 2018. "Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets - The Role of OPEC in the last Decade," QBS Working Paper Series 2018/05, Queen's University Belfast, Queen's Business School.
  17. Tule, Moses K. & Salisu, Afees A. & Chiemeke, Charles C., 2019. "Can agricultural commodity prices predict Nigeria's inflation?," Journal of Commodity Markets, Elsevier, vol. 16(C).
  18. Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2019. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 1-23, December.
  19. Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Working Papers hal-03508699, HAL.
  20. Gupta, Rangan & Yoon, Seong-Min, 2018. "OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 206-214.
  21. Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
  22. Wu, Ling & Hock Ow, Siew, 2021. "The Impact of News Sentiment on the Stock Market Fluctuation: The Case of Selected Energy Sector," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(3), pages 1-21.
  23. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
  24. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
  25. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
  26. Bruce Morley, 2019. "The Effects of Commodity Discoveries on Small Open Economies: Empirical Evidence from the Falkland Islands," Economies, MDPI, vol. 7(4), pages 1-10, October.
  27. Weideman, J. & Inglesi-Lotz, R. & Van Heerden, J., 2017. "Structural breaks in renewable energy in South Africa: A Bai & Perron break test application," Renewable and Sustainable Energy Reviews, Elsevier, vol. 78(C), pages 945-954.
  28. Alomran, Abdulaziz Ahmed & Alsubaiei, Bader Jawid, 2022. "Oil price uncertainty and corporate cash holdings: Global evidence," International Review of Financial Analysis, Elsevier, vol. 81(C).
  29. Antonio Fernandois & Carlos A. Medel, 2020. "Geopolitical tensions, OPEC news, and the oil price: A granger causality analysis," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 35(2), pages 57-90, October.
  30. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.
  31. Spencer, Simon & Bredin, Don, 2019. "Agreement matters: OPEC announcement effects on WTI term structure," Energy Economics, Elsevier, vol. 80(C), pages 589-609.
  32. Khaled Guesmi & Olfa Kaabia & Ilyes Abid, 2017. "ASEAN Plus Three Stock Markets Integration," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 565-581, September.
  33. Gupta, Kartick & Banerjee, Rajabrata, 2019. "Does OPEC news sentiment influence stock returns of energy firms in the United States?," Energy Economics, Elsevier, vol. 77(C), pages 34-45.
  34. Yue Liu & Hao Dong & Pierre Failler, 2019. "The Oil Market Reactions to OPEC’s Announcements," Energies, MDPI, vol. 12(17), pages 1-15, August.
  35. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
  36. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.
  37. Do, Hung Xuan & Nguyen, Quan M.P. & Nepal, Rabindra & Smyth, Russell, 2021. "When Pep comes calling, the oil market answers: The effect of football player transfer movements on abnormal fluctuations in oil price futures," Energy Economics, Elsevier, vol. 100(C).
  38. Plante, Michael, 2019. "OPEC in the news," Energy Economics, Elsevier, vol. 80(C), pages 163-172.
  39. Bouoiyour, Jamal & Selmi, Refk, 2015. "Is the Internet Search Driving Oil Market? A Revisit through Time-Frequency approaches," MPRA Paper 66214, University Library of Munich, Germany.
  40. Klein, Tony, 2018. "Trends and contagion in WTI and Brent crude oil spot and futures markets - The role of OPEC in the last decade," Energy Economics, Elsevier, vol. 75(C), pages 636-646.
  41. Olesia Kozlova & Jose Noguera-Santaella, 2019. "Relative efficiency of oil price versus oil output in promoting economic growth: Is OPEC’s strategy right?," Empirical Economics, Springer, vol. 57(6), pages 1997-2012, December.
  42. I. Sahadudheen & P. K. Santhosh Kumar, 2023. "On the Time-varying Correlations and Hedging Effectiveness: An Analysis of Crude Oil, Gold, and Stock Market," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 353-363, November.
  43. Yang, Liansheng & Zhu, Yingming & Wang, Yudong & Wang, Yiqi, 2016. "Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 255-265.
  44. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
  45. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
  46. López, Raquel, 2018. "The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments," Energy Economics, Elsevier, vol. 72(C), pages 356-364.
  47. Roubaud, David & Shahbaz, Muhammad, 2018. "Financial Development, Economic Growth, and Electricity Demand: A Sector Analysis of an Emerging Economy," MPRA Paper 87212, University Library of Munich, Germany, revised 06 Jun 2018.
  48. Michel A. Robe & Jonathan Wallen, 2016. "Fundamentals, Derivatives Market Information and Oil Price Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(4), pages 317-344, April.
  49. Benlagha, Noureddine, 2020. "Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade," Research in International Business and Finance, Elsevier, vol. 54(C).
  50. Elie Bouri & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2020. "Infectious Diseases, Market Uncertainty and Oil Market Volatility," Energies, MDPI, vol. 13(16), pages 1-8, August.
  51. Bradley T. Ewing & Farooq Malik & Hassan Anjum, 2019. "Forecasting value‐at‐risk in oil prices in the presence of volatility shifts," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 341-350, July.
  52. Han, Liyan & Zhou, Yimin & Yin, Libo, 2015. "Exogenous impacts on the links between energy and agricultural commodity markets," Energy Economics, Elsevier, vol. 49(C), pages 350-358.
  53. Bruce Morley, 2023. "The Effects of Direct Democracy on Stock Market Risk and Returns: An Event Study from Switzerland," Risks, MDPI, vol. 11(2), pages 1-13, January.
  54. Niu, Zibo & Liu, Yuanyuan & Gao, Wang & Zhang, Hongwei, 2021. "The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China," Resources Policy, Elsevier, vol. 73(C).
  55. Gao, Xiangyun & Fang, Wei & An, Feng & Wang, Yue, 2017. "Detecting method for crude oil price fluctuation mechanism under different periodic time series," Applied Energy, Elsevier, vol. 192(C), pages 201-212.
  56. Loutia, Amine & Mellios, Constantin & Andriosopoulos, Kostas, 2016. "Do OPEC announcements influence oil prices?," Energy Policy, Elsevier, vol. 90(C), pages 262-272.
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