OPEC news and predictability of energy futures returns and volatility: evidence from a conditional quantile regression

Purpose - This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock for oxygen blending (RBOB), Brent oil, London gas oil, natural gas and heating oil) market returns and volatilities. Design/methodology/approach - To examine the impact of OPEC news on energy futures market returns and volatilities, the authors use a conditional quantile regression methodology during the period from April 01, 2013 to June 30, 2017. Findings - From the empirical findings, the authors show a conditional dependence between energy futures returns and OPEC-based predictors; hence, the authors can find clear the significance of relationship in the process of financialization of the OPEC announcements and energy futures in the case of this paper. From the quantile-causality test, the authors find that the effect of OPEC news is important to energy futures. Specifically, OPEC announcements dates predict the quantiles of the conditional distribution of energy futures market returns. Originality/value - The authors confirm the presence of unidirectional nexus between OPEC news and energy commodities futures in the long term.