Information Leakage in Energy Derivatives around News Announcements
Marc Bohmann and
Vinay Patel ()
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Marc Bohmann: University of Technology Sydney
Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney
The authors examine the behavior of US crude oil and natural gas futures options implied volatility–based measures as proxies for information leakage around news announcements between 2007 and 2017. In the five days preceding news releases, they find abnormal changes in the levels of futures options implied volatility spreads and skew. In addition, they report a statistically significant relationship between abnormal announcement date returns and abnormal changes in pre-announcement implied volatility spreads/skew. Their findings indicate that at least some investors are informed about the details of future crude oil and natural gas news.
Keywords: options; derivatives (search for similar items in EconPapers)
Pages: 17 pages
New Economics Papers: this item is included in nep-ene and nep-mst
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Published in: Bohmann, M. J. M. and Patel, V., 2020, "Information Leakage in Energy Derivatives around News Announcements", The Journal of Derivatives, 27(4), 13-28
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Persistent link: https://EconPapers.repec.org/RePEc:uts:ppaper:2020-2
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