TY - JOUR
T1 - OPEC news and predictability of energy futures returns and volatility
T2 - evidence from a conditional quantile regression
AU - Derbali, Abdelkader
AU - Wu, Shan
AU - Jamel, Lamia
N1 - Publisher Copyright:
© 2020, Abdelkader Derbali, Shan Wu and Lamia Jamel.
PY - 2020/12/30
Y1 - 2020/12/30
N2 - Purpose: This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock for oxygen blending (RBOB), Brent oil, London gas oil, natural gas and heating oil) market returns and volatilities. Design/methodology/approach: To examine the impact of OPEC news on energy futures market returns and volatilities, the authors use a conditional quantile regression methodology during the period from April 01, 2013 to June 30, 2017. Findings: From the empirical findings, the authors show a conditional dependence between energy futures returns and OPEC-based predictors; hence, the authors can find clear the significance of relationship in the process of financialization of the OPEC announcements and energy futures in the case of this paper. From the quantile-causality test, the authors find that the effect of OPEC news is important to energy futures. Specifically, OPEC announcements dates predict the quantiles of the conditional distribution of energy futures market returns. Originality/value: The authors confirm the presence of unidirectional nexus between OPEC news and energy commodities futures in the long term.
AB - Purpose: This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock for oxygen blending (RBOB), Brent oil, London gas oil, natural gas and heating oil) market returns and volatilities. Design/methodology/approach: To examine the impact of OPEC news on energy futures market returns and volatilities, the authors use a conditional quantile regression methodology during the period from April 01, 2013 to June 30, 2017. Findings: From the empirical findings, the authors show a conditional dependence between energy futures returns and OPEC-based predictors; hence, the authors can find clear the significance of relationship in the process of financialization of the OPEC announcements and energy futures in the case of this paper. From the quantile-causality test, the authors find that the effect of OPEC news is important to energy futures. Specifically, OPEC announcements dates predict the quantiles of the conditional distribution of energy futures market returns. Originality/value: The authors confirm the presence of unidirectional nexus between OPEC news and energy commodities futures in the long term.
KW - Energy futures markets
KW - OPEC announcements
KW - Quantile regression
KW - Returns and volatility
UR - http://www.scopus.com/inward/record.url?scp=85098254517&partnerID=8YFLogxK
U2 - 10.1108/JEFAS-05-2019-0063
DO - 10.1108/JEFAS-05-2019-0063
M3 - Article
AN - SCOPUS:85098254517
SN - 2077-1886
VL - 25
SP - 239
EP - 259
JO - Journal of Economics, Finance and Administrative Science
JF - Journal of Economics, Finance and Administrative Science
IS - 50
ER -