The behavior of oil futures returns around OPEC conferences

Article Abstract:

The behavior of oil futures returns around Organization of Petroluem Exporting Countries (OPEC) conferences regarding conformity to market efficiency is investigated. Results show that after favorable OPEC conferences in the 1980s, excess returns were available to market participants that were statistically and economically significant compared with findings in equity market event studies. Transaction costs and risk adjustments are unable to satisfactorily account for this contradiction to market efficiency.

Security and commodity exchanges, Analysis, Conferences, meetings and seminars, Organization of the Petroleum Exporting Countries, Commodity exchanges, Efficient market theory

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Do futures prices for commodities embody risk premiums?

Article Abstract:

Seven commodities, namely, heating oil, crude oil, lumber, live cattle, feeder cattle, live hogs and orange juice, are examined as to whether they exhibit evidence of a risk premium over long periods. Results revealed that these commodities, with the exception of livestock, did not stay backwardation or contango commodities over extended periods. This may result from the tendency of such commodities to attain actual spot price trends which are positive or negative.

Risk (Economics), Contango and backwardation

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Volume-volatility relationships for crude oil futures markets

Article Abstract:

A dynamic relationship exists between trading volume and price variability in crude oil futures markets. The magnitude of trading volume and price change dispersion exhibit symmetry, allowing these markets to be directly unaffected by signs of a price change. The generalized method of moments is useful for studying volume-volatility relationships.

Models

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