Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

Journal of Futures Markets, Forthcoming

Posted: 13 Oct 2016

See all articles by Kam Fong Chan

Kam Fong Chan

The University of Western Australia; Financial Research Network (FIRN)

Philip Gray

Department of Banking and Finance, Monash University

Date Written: October 12, 2016

Abstract

For six important energy futures markets, this study examines whether large price movements (i.e., jumps) are related to the arrival and information content of scheduled macroeconomic announcements. Since prior studies by Kilian and Vega [(2011) Review of Economics and Statistics, 93, 660–671] and Chatrath, Miao, and Ramchander [(2012) Journal of Futures Markets, 32, 536–559] find little evidence of an announcement-price reaction in mean energy returns, we focus on jump dynamics as a possible conduit for macroeconomic announcements to influence the distribution of returns. We find little evidence of an increase in jump arrival rates coinciding with scheduled releases of economic data. Similarly, there is no compelling evidence that the magnitude and/or sign (“good” vs. “bad”) of the inherent announcement surprises influence the mean jump size.

Keywords: Energy Markets; Price Jumps; Macroeconomic Announcements

JEL Classification: C5; E6; G1; Q4

Suggested Citation

Chan, Kam Fong and Gray, Philip, Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps? (October 12, 2016). Journal of Futures Markets, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2851627

Kam Fong Chan (Contact Author)

The University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Philip Gray

Department of Banking and Finance, Monash University ( email )

Building H
Caulfield, Victoria 3141
Australia

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