Authors: Tarek Chebbi
Addresses: Faculty of Economics Sciences and Management, University of Sousse, Erriadh City, Sousse 4023, Tunisia
Abstract: In this paper, we investigate how the inventory announcements through information surprises affect energy commodity prices on return and volatility using a daily data from 9 November 2010 to 24 September 2013. The data set covers 150 inventory news released by the Energy Information Administration (EIA) for each commodity. Across a range of specifications, we find strong evidence for the negative effect of inventory surprises on energy commodity futures returns on the day of the announcement. In contrast, the effect after the announcement day becomes insignificant. Moreover, in separating inventory announcements into positive and negative surprises, we find that asymmetric responses in returns to EIA inventory shocks are pronounced for energy commodity. Finally, we show that natural gas volatility is susceptible to both positive and negative inventory surprises, whereas surprises do not matter for crude oil volatility.
Keywords: inventory surprises; energy commodity; futures prices; conditional volatility.
International Journal of Global Energy Issues, 2019 Vol.42 No.1/2, pp.1 - 20
Received: 26 Mar 2018
Accepted: 06 Apr 2019
Published online: 05 Jul 2019 *