Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements

2021 ◽  
Author(s):  
Ivan Indriawan ◽  
Donald Lien ◽  
Zhuzhu Wen ◽  
Yahua Xu
Keyword(s):  
Crude Oil ◽  
Return Predictability ◽  
Oil Market

scholarly journals Revisiting the Integration of China Into the World Crude Oil Market: The Role of Structural Breaks

2019 ◽  
Vol 7 ◽  
Author(s):  
Zhenhua Liu ◽  
Zhihua Ding ◽  
Pengxiang Zhai ◽  
Tao Lv ◽  
Jy S. Wu ◽  
...  
Keyword(s):  
Crude Oil ◽  
Structural Breaks ◽  
Oil Market ◽  
The World

scholarly journals Identifying the Asymmetric Channel of Crude Oil Risk Pass-Through to Macro Economy: Based on Crude Oil Attributes

2022 ◽  
Vol 9 ◽  
Author(s):  
Shuaishuai Jia ◽  
Hao Dong ◽  
Zhenzhen Wang
Keyword(s):  
Crude Oil ◽  
Financial Market ◽  
Market Risk ◽  
Test Method ◽  
Commodity Market ◽  
Oil Market ◽  
Channel Effect ◽  
The Impact ◽  
Financial Market Risk

The impact channel of crude oil market risk on the macroeconomy is highly related to oil attributes. This paper uses a stepwise test method with dummy variables to identify the channel effect of commodity market risk as well as financial market risk and explore the characteristics of the channel effect in different periods dominated by different oil attributes. Furthermore, this paper investigates the asymmetric characteristics of the channel effect under the condition of crude oil returns heterogeneity. The empirical results show that: First, commodity market risk, as well as financial market risk plays a channel role in the impact of crude oil market risk on the macroeconomic operation. Second, there is a significant difference in the ability of the commodity market and financial market to cope with shocks of crude oil market risk in periods dominated by different attributes. During the period dominated by the commodity attribute of oil, both commodity market and financial market play the role of “risk buffer”; during the period dominated by dual attributes of oil, the commodity market risk plays the role of “risk buffer”, while the financial market risk plays the role of “magnifier” of the crude oil market risk. Third, the channel effect pattern and degree of commodity market risk and financial market risk are significantly asymmetric.

scholarly journals Identifying oil price shocks and their consequences: The role of expectations in the crude oil market

2020 ◽  
Author(s):  
Takuji Fueki ◽  
Jouchi Nakajima ◽  
Shinsuke Ohyama ◽  
Yoichiro Tamanyu
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Oil Market

Contango in Cushing? - Evidence on Financial-Physical Interactions in the U.S. Crude Oil Market

2012 ◽  
Author(s):  
Louis H. Ederington ◽  
Chitru S. Fernando ◽  
Kateryna V. Holland ◽  
Thomas K. Lee
Keyword(s):  
Crude Oil ◽  
Oil Market ◽  
Physical Interactions ◽  
The U.S

scholarly journals COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Afees A. Salisu ◽  
Kingsley Obiora
Keyword(s):  
Crude Oil ◽  
Structural Breaks ◽  
Exchange Traded Funds ◽  
Modeling Framework ◽  
Risk Hedging ◽  
Financial Innovations ◽  
Oil Market ◽  
Price Series ◽  
Hedging Effectiveness ◽  
Multivariate Volatility

AbstractThis study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between energy variants and crude oil proxies. We employ a multivariate volatility modeling framework that accounts for important statistical features of the non-energy ETFs and oil price series in the computation of optimal weights and optimal hedging ratios. Results show evidence of hedging effectiveness for the financial innovations against oil market risks, with higher hedging performance observed during the pandemic. Overall, we show that sectoral financial innovations provide resilient investment options. Therefore, we propose that including the ETFs in an investment portfolio containing oil could improve risk-adjusted returns, especially in similar financial crisis as witnessed during the pandemic. In essence, our results are useful for investors in the global oil market seeking to maximize risk-adjusted returns when making investment decisions. Moreover, by exploring the role of structural breaks in the multivariate volatility framework, our attempts at establishing robustness for the results reveal that ignoring the same may lead to wrong conclusions about the hedging effectiveness.

Multivariate Markov-switching score-driven models: an application to the global crude oil market

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Crude Oil ◽  
Moving Average ◽  
Local Level ◽  
Markov Switching ◽  
Impulse Response Functions ◽  
Common Trends ◽  
Vector Autoregressive ◽  
Oil Market ◽  
Long Run ◽  
Special Cases

Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.

Sign in / Sign up

Export Citation Format

Share Document