IDEAS home Printed from
   My bibliography  Save this article

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


  • Demirer, RIza
  • Kutan, Ali M.


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.

Suggested Citation

  • Demirer, RIza & Kutan, Ali M., 2010. "The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective," Energy Economics, Elsevier, vol. 32(6), pages 1467-1476, November.
  • Handle: RePEc:eee:eneeco:v:32:y:2010:i:6:p:1467-1476

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. 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.
    2. 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.
    3. Hyndman, Kyle, 2008. "Disagreement in bargaining: An empirical analysis of OPEC," International Journal of Industrial Organization, Elsevier, vol. 26(3), pages 811-828, May.
    4. Binder, John J, 1998. "The Event Study Methodology since 1969," Review of Quantitative Finance and Accounting, Springer, vol. 11(2), pages 111-137, September.
    5. Ma, Hengyun & Oxley, Les & Gibson, John, 2010. "China's energy economy: A survey of the literature," Economic Systems, Elsevier, vol. 34(2), pages 105-132, June.
    6. 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, Taylor & Francis Journals, vol. 39(1), pages 24-42, January.
    7. 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.
    8. 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.
    9. 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.
    10. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    11. Kalyuzhnova, Yelena, 2005. "The EU and the Caspian Sea region: An energy partnership?," Economic Systems, Elsevier, vol. 29(1), pages 59-76, March.
    12. 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.
    Full references (including those not matched with items on IDEAS)


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

    Cited by:

    1. Charles, Amélie & Darné, Olivier, 2014. "Volatility persistence in crude oil markets," Energy Policy, Elsevier, vol. 65(C), pages 729-742.
    2. Mihaela Nicolau, 2012. "Do Spot Prices Move towards Futures Prices? A study on Crude Oil Market," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 5(5), pages 166-176, October.
    3. Duong T Le, 2015. "Ex-ante Determinants of Volatility in the Crude Oil Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(1), pages 1-13, January.
    4. Ju, Keyi & Zhou, Dequn & Zhou, P. & Wu, Junmin, 2014. "Macroeconomic effects of oil price shocks in China: An empirical study based on Hilbert–Huang transform and event study," Applied Energy, Elsevier, vol. 136(C), pages 1053-1066.
    5. Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe, and Kirsten R. Soneson, 2013. "OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    6. repec:ipg:wpaper:2014-422 is not listed on IDEAS
    7. Medel, Carlos A., 2015. "Geopolitical Tensions, OPEC News, and Oil Price: A Granger Causality Analysis," MPRA Paper 65667, University Library of Munich, Germany.
    8. Fan, Ying & Jia, Jun-Jun & Wang, Xin & Xu, Jin-Hua, 2017. "What policy adjustments in the EU ETS truly affected the carbon prices?," Energy Policy, Elsevier, vol. 103(C), pages 145-164.
    9. Xie, Nan & Yan, Zhijun & Zhou, Yi & Huang, Wenjun, 2017. "China's optimal stockpiling policies in the context of new oil price trend," Energy Policy, Elsevier, vol. 105(C), pages 332-340.
    10. 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.
    11. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
    12. 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.
    13. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Yoon, Seong-Min, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 225-243.
    14. Ji, Qiang & Guo, Jian-Feng, 2015. "Oil price volatility and oil-related events: An Internet concern study perspective," Applied Energy, Elsevier, vol. 137(C), pages 256-264.
    15. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "An information diffusion-based model of oil futures price," Energy Economics, Elsevier, vol. 36(C), pages 518-525.
    16. 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.
    17. Ye, Shiyu & Karali, Berna, 2016. "The informational content of inventory announcements: Intraday evidence from crude oil futures market," Energy Economics, Elsevier, vol. 59(C), pages 349-364.
    18. Reboredo, Juan C. & Wen, Xiaoqian, 2015. "Are China’s new energy stock prices driven by new energy policies?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 45(C), pages 624-636.
    19. Berk, Istemi & Rauch, Jannes, 2016. "Regulatory interventions in the US oil and gas sector: How do the stock markets perceive the CFTC's announcements during the 2008 financial crisis?," Energy Economics, Elsevier, vol. 54(C), pages 337-348.
    20. 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.
    21. Loutia, Amine & Mellios, Constantin & Andriosopoulos, Kostas, 2016. "Do OPEC announcements influence oil prices?," Energy Policy, Elsevier, vol. 90(C), pages 262-272.
    22. repec:eee:eneeco:v:67:y:2017:i:c:p:508-519 is not listed on IDEAS
    23. Yoo, Kyungjin & Lee, Youah & Heo, Eunnyeong, 2013. "Economic effects by merger and acquisition types in the renewable energy sector: An event study approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 26(C), pages 694-701.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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: (Dana Niculescu). General contact details of provider: .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.