دانلود مقاله ISI انگلیسی شماره 101659
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
101659 2018 9 صفحه PDF سفارش دهید 4932 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : The North American Journal of Economics and Finance, Available online 8 March 2018

پیش نمایش مقاله
پیش نمایش مقاله

چکیده انگلیسی

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.

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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.