Weekday variations in the Chinese crude oil futures market: Unveiling the influence of COVID-19 and EIA shocks

Tian Yue, Lu-Lu Li and Wenfeng Wu

International Review of Financial Analysis, 2025, vol. 106, issue C

Abstract: This study investigates the weekday variations in the newly established Chinese crude oil futures market, which has been a key addition to the global energy market since its inception in 2018. We examine the market’s behavior with a focus on anomalies in trading patterns, particularly during periods of global instability. Our analysis reveals a significant positive Monday effect in crude oil futures before the COVID-19 pandemic, which contrasting with an overall insignificant day-of-the-week effect in the full sample. The impact of the COVID-19 pandemic and the Russia-Ukraine war on market behavior is pronounced, with heightened volatility and altered trading patterns during these periods. Specifically, the initial invasion of Ukraine led to increased market uncertainty and significant shifts in weekday returns, highlighting the influence of geopolitical tensions. Additionally, our examination of Energy Information Administration (EIA) shocks shows that although the day-of-the-week effect is generally muted, EIA announcements, especially on Thursdays, have a significant positive impact on returns. This research contributes to the literature by providing a detailed analysis of the Chinese crude oil market during a period of unprecedented global disruptions, offering important insights for investors and policymakers in managing informational and geopolitical shocks.

Keywords: Day-of-the-week effect; Chinese crude oil market; Trading pattern anomalies; EIA announcement (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:106:y:2025:i:c:s1057521925005253

DOI: 10.1016/j.irfa.2025.104438

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