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OPEC News Announcement Effect on Volatility in the Crude Oil Market A Reconsideration

OPEC News Announcement Effect on Volatility in the Crude Oil Market A Reconsideration

Title

OPEC News Announcement Effect on Volatility in the Crude Oil Market:A Reconsideration

Authors

  • Rangan Gupta
    (Department of Economics, University of Pretoria, South Africa)
  • Chi Keung Marco Lau
    (Newcastle Business School, Northumbria University, UK)
  • Seong-Min Yoon
    (Department of Economics, Pusan National University, Republic of Korea)

Abstract

This paper uses a nonparametric quantile-based methodology to analyse the predictiveability of OPEC meeting dates and production announcements on (Brent Crude and West
Texas Intermediate) oil a measure of futures market volatility that is robust to jumps. We
found a nonlinear relationship between oil futures volatility and OPEC-based predictors;
hence, linear Granger-causality tests are misspecified and the linear model results of nonpredictability are unreliable.
Results of the quantile-causality test show that OPEC
variables’ impact on oil futures markets is restricted to Brent Crude futures, with no effect
observed for the WTI market. Specifically, OPEC production announcements and
meeting dates predict only lower quantiles of the conditional distribution of Brent futures
market volatility – a much weaker result compared to when volatility models used in the
literature are not robust to jump and outliers.

Keywords

:Oil markets, Volatility, OPEC announcements.

Classification-JEL

C22, C58, G14, Q41

Pages

1-23

https://doi.org/10.47654/v23y2019i4p1-23

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ISSN 2090-3359 (Print)
ISSN 2090-3367 (Online)

Asia University, Taiwan

Scientific and Business World

4.7
2023CiteScore
 
86th percentile
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SCImago Journal & Country Rank
Q2 in Scopus
CiteScore 2023 = 4.7
CiteScoreTracker 2024 = 8.5
SNIP 2023 = 0.799
SJR Quartile = Q1
SJR 2024 = 0.814
H-Index = 20

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