IDEAS home Printed from https://ideas.repec.org/a/ids/ijgeni/v42y2019i1-2p1-20.html
   My bibliography  Save this article

The inventory change surprise's role in energy price behaviour

Author

Listed:
  • Tarek Chebbi

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.

Suggested Citation

  • Tarek Chebbi, 2019. "The inventory change surprise's role in energy price behaviour," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 42(1/2), pages 1-20.
    • Handle: RePEc:ids:ijgeni:v:42:y:2019:i:1/2:p:1-20
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=100685
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Farhangdoost, Sara & Etienne, Xiaoli L., 2020. "Time-Varying Storage Announcement Effect in Natural Gas Market," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304476, Agricultural and Applied Economics Association.
    2. Tarek Chebbi & Waleed Hmedat, 2024. "Inventory information arrival and the crude oil futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1513-1533, April.
    3. Zhao, Lu-Tao & Zheng, Zhi-Yi & Wei, Yi-Ming, 2023. "Forecasting oil inventory changes with Google trends: A hybrid wavelet decomposer and ARDL-SVR ensemble model," Energy Economics, Elsevier, vol. 120(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijgeni:v:42:y:2019:i:1/2:p:1-20. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=13 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.