International Announcements and Wti Crude Oil Futures: A Case Study of the 2008 Global FInancial Crisis

Journal of Energy Markets, 2019

Posted: 7 Aug 2017 Last revised: 12 Aug 2019

See all articles by Konstantinos Gkillas

Konstantinos Gkillas

University of Patras - Business Administration

Christoforos Konstantatos

University of Patras - Business Administration

Athanasios Tsagkanos

University of Patras - Business Administration

Dimitrios I. Vortelinos

University of Lincoln; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Date Written: August 9, 2019

Abstract

We examine the impact of international monetary policy and professionals’ announcements on WTI crude oil futures. The methodology is an event and case study. The event study refers to an analysis of each category of events, while the case study refers to the selection of a particular time period, that is, a time period around the Lehman Brothers collapse. The direction, magnitude and significance of impacts are assessed in returns and volatility for price, volume and open interest series in both daily and weekly frequency. The research questions are assessed in a non-parametric quantile regression framework. Announcements are classified into four categories in total, three of which concern international monetary policy from the UK, the US, and the European Monetary Union, with the fourth category concerning financial professionals’ announcements.

Keywords: WTI Crude Oil Futures, International Announcements, Volatility

JEL Classification: F3, G14, G15, C14, C22

Suggested Citation

Gkillas, Konstantinos and Konstantatos, Christoforos and Tsagkanos, Athanasios and Vortelinos, Dimitrios I., International Announcements and Wti Crude Oil Futures: A Case Study of the 2008 Global FInancial Crisis (August 9, 2019). Journal of Energy Markets, 2019. Available at SSRN: https://ssrn.com/abstract=3013740 or http://dx.doi.org/10.2139/ssrn.3013740

Konstantinos Gkillas (Contact Author)

University of Patras - Business Administration ( email )

Patras
Greece

HOME PAGE: http://www.gillas.gr

Christoforos Konstantatos

University of Patras - Business Administration ( email )

Patras
Greece

Athanasios Tsagkanos

University of Patras - Business Administration ( email )

Patras
Greece

Dimitrios I. Vortelinos

University of Lincoln ( email )

Brayford Pool
Lincoln, Lincolnshire LN6 7TS
United Kingdom
0044(0)1522835634 (Phone)

HOME PAGE: http://www.lincoln.ac.uk/lbs/staff/3005.asp

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

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