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 ()

No 201726, Working Papers from University of Pretoria, Department of Economics

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 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene
Date: 2017-04
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach (2018) Downloads
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:pre:wpaper:201726

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2019-06-16
Handle: RePEc:pre:wpaper:201726