OPEC news announcements: Effects on oil price expectation and volatility

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dc.contributor.authorSchmidbauer, Harald
dc.contributor.authorRoesch, Angi
dc.date.accessioned2024-07-18T20:42:35Z
dc.date.available2024-07-18T20:42:35Z
dc.date.issued2012
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractSeveral times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (no change, increase, or cut) will be announced. The purpose of our investigation is to assess the impact of OPEC announcements on expectation and volatility of daily oil price changes (returns). We modify dummy variables indicating the day of an OPEC announcement to reflect a certain pattern of impact on return expectation and volatility. A combination of regression and GARCH models can then differentiate between pre- and post-announcement effects, and distinguish between the three kinds of OPEC decisions. We find evidence for a post-announcement effect on expectation, which is negative in the case of a cut decision and positive in case of an increase or maintain decision, while there is a positive pre-announcement effect on volatility, which is strongest in the case of a cut decision. (C) 2012 Elsevier B.V. All rights reserved.en_US
dc.identifier.doi10.1016/j.eneco.2012.01.006
dc.identifier.endpage1663en_US
dc.identifier.issn0140-9883
dc.identifier.issue5en_US
dc.identifier.scopus2-s2.0-84864822965en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage1656en_US
dc.identifier.urihttps://doi.org/10.1016/j.eneco.2012.01.006
dc.identifier.urihttps://hdl.handle.net/11411/7349
dc.identifier.volume34en_US
dc.identifier.wosWOS:000308573300037en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevier Science Bven_US
dc.relation.ispartofEnergy Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCrude Oil Price Volatilityen_US
dc.subjectGarchen_US
dc.subjectCovariatesen_US
dc.subjectModified Dummy Variablesen_US
dc.subjectOpec Announcementsen_US
dc.subjectWtı Crude Oilen_US
dc.subjectCartel Hypothesisen_US
dc.titleOPEC news announcements: Effects on oil price expectation and volatilityen_US
dc.typeArticleen_US

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