International Announcements and WTI Crude Oil Futures: Evidence from the 2008 Crisis Period

21 Pages Posted: 7 Aug 2017

See all articles by Dimitrios I. Vortelinos

Dimitrios I. Vortelinos

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

Konstantinos Gkillas

University of Patras - Business Administration

Date Written: August 4, 2017

Abstract

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

Vortelinos, Dimitrios I. and Gkillas, Konstantinos, International Announcements and WTI Crude Oil Futures: Evidence from the 2008 Crisis Period (August 4, 2017). Available at SSRN: https://ssrn.com/abstract=3013740 or http://dx.doi.org/10.2139/ssrn.3013740

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

Konstantinos Gkillas (Contact Author)

University of Patras - Business Administration ( email )

Patras
Greece

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

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