IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v25y2025i11p1731-1744.html

Intra-day seasonality and abnormal returns in the Brent crude oil futures market

Author

Listed:
  • Christian Oliver Ewald
  • Erik Haugom
  • Ruolan Ouyang
  • Erik Smith-Meyer
  • Ståle Størdal

Abstract

We investigate intra-day seasonal patterns in Brent crude oil futures traded at the Intercontinental Exchange in London. Our data cover tick data for futures of various maturities from January 2010 to October 2021, a database covering 130 Gigabytes of oil transactions. We convert these data into one-minute data and observe statistically significant intra-day seasonal patterns with peaks and bottoms at particular times of the day, depending on maturities and whether or not spreads are considered. In the second part of our analysis, we explore whether these systematic patterns can be exploited to create arbitrage-like long-short strategies, going long and short at particular times during the day. The answer is yes; even when accounting for realistic transaction costs and margin requirements, some of the proposed strategies can create consistent positive and significant CAPM alphas.

Suggested Citation

  • Christian Oliver Ewald & Erik Haugom & Ruolan Ouyang & Erik Smith-Meyer & Ståle Størdal, 2025. "Intra-day seasonality and abnormal returns in the Brent crude oil futures market," Quantitative Finance, Taylor & Francis Journals, vol. 25(11), pages 1731-1744, November.
    • Handle: RePEc:taf:quantf:v:25:y:2025:i:11:p:1731-1744
    DOI: 10.1080/14697688.2025.2535479
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2025.2535479
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2025.2535479?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:taf:quantf:v:25:y:2025:i:11:p:1731-1744. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.