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Jumps in Oil Prices: The Role of Economic News

John Elder, Hong Miao, and Sanjay Ramchander

Year: 2013
Volume: Volume 34
Number: Number 3
DOI: 10.5547/01956574.34.3.10
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Abstract:
Previous research has been unable to identify a strong link between crude oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology to estimate jumps in oil prices. We find a surprisingly strong correspondence between high frequency jumps in oil prices and the arrival of new economic information, with the largest jumps tending to be preceded identifiable economic news. These results indicate that oil prices respond very rapidly to new economic data in ways that appear consistent with economic theory, and also suggest that economic news, rather than speculation unrelated to the economic environment, drives jumps in oil prices.



The Natural Gas Announcement Day Puzzle

Marcel Prokopczuk, Chardin Wese Simen, and Robert Wichmann

Year: 2021
Volume: Volume 42
Number: Number 2
DOI: 10.5547/01956574.42.2.mpro
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Abstract:
This paper studies natural gas futures returns on EIA storage announcement days. More than 50% of the annual return is earned on these days. We find a significant difference between announcement and non-announcement day returns, which cannot be explained by the announcement surprise or other control variables. At the intraday level, the return splits half into a pre- and post-announcement part. The pre-announcement return is entirely generated on days when storage levels exceed analysts� expectations casting doubt on explanations based on informed trading. After transaction and funding cost, a simple trading strategy yields substantial returns.



Understanding Intraday Oil Price Dynamics during the COVID-19 Pandemic: New Evidence from Oil and Stock Investor Sentiments

Mohamed Arbi Madani and Zied Ftiti

Year: 2024
Volume: Volume 45
Number: Number 3
DOI: 10.5547/01956574.45.3.mmad
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Abstract:
This study employed intraday stock market and oil investor sentiment data related to news and social media (i.e., the Thomson Reuters MarketPsych Indices [TRMI] sentiment index) to gauge investors' interest in the West Texas Intermediate (WTI) crude oil futures market during the recent health crisis. We proposed an original nonlinear empirical framework by considering oil price dynamics' complexity and its potential interaction with investor sentiment. The analysis revealed three noteworthy findings. First, we observed evidence of nonlinearity in the relationship between excess returns on WTI crude oil futures and investor sentiment data. Second, the causality direction moved only from oil and stock market investor sentiment to oil returns. Third, the impacts of oil and stock market sentiment data on crude oil returns (i.e., volatility) were always negative. Furthermore, sentiment data related to social media showed a more pronounced cross-correlation than that of news.





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