International Announcements and WTI Crude Oil Futures: Evidence from the 2008 Crisis Period
21 Pages Posted: 7 Aug 2017
Date Written: August 4, 2017
The present paper examines 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 as well as each event seperately. The case study refers to the selection of a particular time period; a time period around the Lehman Brothers crisis, in specific. The direction, magnitude and significance of impacts are assessed in returns and volatilities from price, volume and open interest series in both daily and weekly frequency. The research questions are assessed in both uni and multi variate frameworks. Announcements are classified into three categories concerning international monetary policy from the respective three countries (UK, USA, and Eurozone), as well as one category of financial professionals' announcements (from Goldman Sachs).
Keywords: WTI crude oil futures, International announcements, Volatility
JEL Classification: F3, G14, G15, C14, C22
Suggested Citation: Suggested Citation