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

Zhuzhu Wen, Ivan Indriawan, Donald Lien and Yahua Xu

The Energy Journal, 2023, vol. 44, issue 5, 149-172

Abstract: We 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.

Keywords: Crude oil market; EIA announcements; Intraday momentum; Return predictability (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.5547/01956574.44.4.zwen (text/html)

Related works:
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:sae:enejou:v:44:y:2023:i:5:p:149-172

DOI: 10.5547/01956574.44.4.zwen

Access Statistics for this article

More articles in The Energy Journal
Bibliographic data for series maintained by SAGE Publications ().