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Day-of-the-week effect: Petroleum and petroleum products

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  • Andrew C. Meek
  • Seth A. Hoelscher

Abstract

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate Blending) Gasoline, Heating Oil, and Natural Gas. Futures provide a more liquid insight into price movements relative to spot prices, where financial market participants can engage. We ensure the most appropriate price is used by focusing on the most liquid contracts by combining the front two months of the studied commodities nearing expiration. Our research shows that the DOW effect varies across the respective energy commodities; however, for investors engaged in trading these futures, our results may help time their trade decisions.

Suggested Citation

  • Andrew C. Meek & Seth A. Hoelscher, 2023. "Day-of-the-week effect: Petroleum and petroleum products," Cogent Economics & Finance, Taylor & Francis Journals, vol. 11(1), pages 2213876-221, December.
    • Handle: RePEc:taf:oaefxx:v:11:y:2023:i:1:p:2213876
    DOI: 10.1080/23322039.2023.2213876
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    Cited by:

    1. Algieri, Bernardina & Lawuobahsumo, Kokulo & Leccadito, Arturo, 2024. "Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets," LIDAM Discussion Papers LFIN 2024001, Université catholique de Louvain, Louvain Finance (LFIN).

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