Current studentsExisting staffContact us
 

Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements

Simple item page
dc.contributor.authorWen, Z.
dc.contributor.authorIndriawan, I.
dc.contributor.authorLien, D.
dc.contributor.authorXu, Y.
dc.date.issued2023
dc.description.abstractWe study the impact of the announcements released by the US Energy Information Administration (EIA) on crude oil storage every Wednesday at 10:30 ET (the beginning of the third half-hour interval) on intraday return predictability, that is, intraday momentum. Our results indicate that returns on the third half-hour on EIA announcement days can significantly and positively predict the returns in the last half-hour, whereas, on non-EIA announcement days, only returns in the first half-hour have significant predictability. The dominant source of prediction in the first half-hour return mainly comes from the overnight component. EIA announcements contribute to intraday momentum because they attract more informed traders and because the period surrounding their release is often associated with a reduction in liquidity. Substantial economic gains can be made by using efficient intraday predictors as trading signals.
dc.description.statementofresponsibilityZhuzhu Wen, Ivan Indriawan, Donald Lien, and Yahua Xu
dc.identifier.citationEnergy Journal, 2023; 44(5):149-171
dc.identifier.doi10.5547/01956574.44.4.zwen
dc.identifier.issn0195-6574
dc.identifier.issn1944-9089
dc.identifier.orcidIndriawan, I. [0000-0002-6558-5551]
dc.identifier.urihttps://hdl.handle.net/2440/141224
dc.language.isoen
dc.publisherSAGE Publications
dc.rights© 2023 by the IAEE. All rights reserved.
dc.source.urihttps://doi.org/10.5547/01956574.44.4.zwen
dc.subjectCrude oil market; EIA announcements; Intraday momentum; Return predictability
dc.titleIntraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements
dc.typeJournal article
pubs.publication-statusPublished

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
hdl_141224.pdf
Size:
625.59 KB
Format:
Adobe Portable Document Format
Description:
Accepted version
Download

Collections

Research Outputs