OPEC news and jumps in the oil market

Gkillas, Konstantinos; Gupta, Rangan; Pierdzioch, Christian; Yoon, Seong-Min

dc.contributor.author	Gkillas, Konstantinos
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Pierdzioch, Christian
dc.contributor.author	Yoon, Seong-Min
dc.date.accessioned	2021-05-17T11:31:27Z
dc.date.issued	2021-04
dc.description	Appendix 3A. Jump Oil Daily	en_ZA
dc.description	Appendix 3B. Jump Oil Monthly	en_ZA
dc.description.abstract	We study the role of OPEC meeting dates and production announcements for predicting jumps in the oil market. The analysis covers the daily period from 2nd December 1997 to 26th May 2017, with the start and end dates corresponding to our availability of intraday oil-price data. We start our analysis by applying the standard linear Granger non-causality test to analyze whether the OPEC-based predictors cause jumps. This test fails to detect predictability from OPEC-based predictors to oil-market jumps. Yet, given the strong evidence of nonlinearity between jumps and OPEC production announcements and meeting dates, we then use a nonparametric causality-in-quantiles test. Upon employing this data-driven robust approach, we find strong evidence that the OPEC-based predictors do predict oil-market jumps, ranging from the lower end of the conditional distribution of jumps to around the median.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2022-04-21
dc.description.librarian	hj2021	en_ZA
dc.description.uri	http://www.elsevier.com/locate/eneco	en_ZA
dc.identifier.citation	Gkillas, K., Gupta, R., Pierdzioch, C. et al. 2021, 'OPEC news and jumps in the oil market', Energy Economics, vol. 96, art. 105096, pp. 1-9.	en_ZA
dc.identifier.issn	0140-9883 (print)
dc.identifier.issn	1873-6181 (online)
dc.identifier.other	10.1016/j.eneco.2021.105096
dc.identifier.uri	http://hdl.handle.net/2263/79927
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2021 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Energy Economics, vol. 96, art. 105096, pp. 1-9, 2021. doi : 10.1016/j.eneco.2021.105096.	en_ZA
dc.subject	Oil market jumps	en_ZA
dc.subject	OPEC announcements	en_ZA
dc.subject	Nonparametric quantile causality	en_ZA
dc.title	OPEC news and jumps in the oil market	en_ZA
dc.type	Postprint Article	en_ZA