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Calendar Effects in the Market of Crude Oil

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  • Górska, Anna
  • Krawiec, Monika

Abstract

This paper investigates calendar effects in the crude oil market using daily data over the period January 4, 2000 to December 31, 2014 for two global oil pricing benchmarks: West Texas Intermediate (WTI) and Brent. Results of performing statistical tests of equality of two means and of equality of two variances reveal the presence of both day-of-the week and month-of-the-year effects.

Suggested Citation

  • Górska, Anna & Krawiec, Monika, 2015. "Calendar Effects in the Market of Crude Oil," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 15(30), pages 1-9, December.
    • Handle: RePEc:ags:polpwa:230857
    DOI: 10.22004/ag.econ.230857
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    References listed on IDEAS

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    1. Clifford A. Ball & Walter N. Torous & Adrian E. Tschoegl, 1982. "Gold and the “weekend effect”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(2), pages 175-182, June.
    2. Brian Lucey & Edel Tully, 2005. "Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002," The Institute for International Integration Studies Discussion Paper Series iiisdp057, IIIS.
    3. Christopher K. Ma, 1986. "A further investigation of the day‐of‐the‐week effect in the gold market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(3), pages 409-419, September.
    4. Krzysztof Borowski & Malgorzata Lukasik, 2015. "Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(2), pages 12-37.
    5. J. Andrew Coutts & Mohamed Sheikh, 2000. "The January effect and monthly seasonality in the All Gold Index on the Johannesburg Stock Exchange 1987-1997," Applied Economics Letters, Taylor & Francis Journals, vol. 7(8), pages 489-492.
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    Cited by:

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    2. Helga Å padina, 2016. "Labour Discrimination Related to Pregnancy and Motherhood in Croatia," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 2, ejes_v2_i.

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