Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

Chan, Kam Fong and Gray, Philip (2016) Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?. The Journal of Futures Markets, . doi:10.1002/fut.21796

Author Chan, Kam Fong
Gray, Philip
Title Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?
Journal name The Journal of Futures Markets   Check publisher's open access policy
ISSN 0270-7314
Publication date 2016-06-03
Year available 2016
Sub-type Article (original research)
DOI 10.1002/fut.21796
Open Access Status Not Open Access
Total pages 19
Place of publication Hoboken NJ United States
Publisher John Wiley & Sons
Collection year 2017
Language eng
Abstract For six import ant energy futures markets, this study examines whether large price movements (i.e.,jumps) are related to the arrival and information content of scheduled macroeconomic announcements. Since prior studies by Kilian and Vega [(2011) Review of Economics and Statistics, 93, 660–671] and Chatrath, Miao, and Ramchander [(2012) Journal of Futures Markets,32, 536–559] find little evidence of an announcement-price reaction in mean energy returns, we focus on jump dynamics as a possible conduit for macroeconomic announcements to influence the distribution of returns. We find little evidence of an increase in jump arrival rates coinciding with scheduled releases of economic data. Similarly, there is no compelling evidence that the magnitude and/or sign (“good” vs. “bad”) of the inherent announcement surprises influence the mean jump size.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: HERDC Pre-Audit
UQ Business School Publications
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Created: Fri, 10 Jun 2016, 22:24:31 EST by Dr Kam Chan on behalf of UQ Business School