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The inventory change surprise's role in energy price behaviour

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  • Tarek Chebbi

Abstract

In this paper, we investigate how the inventory announcements through information surprises affect energy commodity prices on return and volatility using a daily data from 9 November 2010 to 24 September 2013. The data set covers 150 inventory news released by the Energy Information Administration (EIA) for each commodity. Across a range of specifications, we find strong evidence for the negative effect of inventory surprises on energy commodity futures returns on the day of the announcement. In contrast, the effect after the announcement day becomes insignificant. Moreover, in separating inventory announcements into positive and negative surprises, we find that asymmetric responses in returns to EIA inventory shocks are pronounced for energy commodity. Finally, we show that natural gas volatility is susceptible to both positive and negative inventory surprises, whereas surprises do not matter for crude oil volatility.

Suggested Citation

  • Tarek Chebbi, 2019. "The inventory change surprise's role in energy price behaviour," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 42(1/2), pages 1-20.
    • Handle: RePEc:ids:ijgeni:v:42:y:2019:i:1/2:p:1-20
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    Cited by:

    1. Farhangdoost, Sara & Etienne, Xiaoli L., 2020. "Time-Varying Storage Announcement Effect in Natural Gas Market," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304476, Agricultural and Applied Economics Association.
    2. Zhao, Lu-Tao & Zheng, Zhi-Yi & Wei, Yi-Ming, 2023. "Forecasting oil inventory changes with Google trends: A hybrid wavelet decomposer and ARDL-SVR ensemble model," Energy Economics, Elsevier, vol. 120(C).

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