The inventory change surprise's role in energy price behaviour
by Tarek Chebbi
International Journal of Global Energy Issues (IJGEI), Vol. 42, No. 1/2, 2019

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.

Online publication date: Sat, 06-Jul-2019

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Global Energy Issues (IJGEI):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email