EconPapers    
Economics at your fingertips  
 

OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach

Rangan Gupta () and Seong-Min Yoon ()

The North American Journal of Economics and Finance, 2018, vol. 45, issue C, 206-214

Abstract: This paper provides a novel perspective to the predictive ability of OPEC meeting dates and production announcements for (Brent Crude and West Texas Intermediate) oil futures market returns and GARCH-based volatility using a nonparametric quantile-based methodology. We show a nonlinear relationship between oil futures returns and OPEC-based predictors; hence, linear Granger causality tests are misspecified and the linear model results of non-predictability are unreliable. When the quantile-causality test is implemented, we observe that the impact of OPEC variables is restricted to Brent Crude futures only (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 returns. While, predictability of volatility covers the majority of the quantile distribution, barring extreme ends.

Keywords: Oil futures markets; Returns and volatility; OPEC announcements; Nonparametric quantile causality (search for similar items in EconPapers)
JEL-codes: C22 C58 G14 Q41 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940817303169
Full text for ScienceDirect subscribers only

Related works:
Working Paper: OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:45:y:2018:i:c:p:206-214

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-06-16
Handle: RePEc:eee:ecofin:v:45:y:2018:i:c:p:206-214