International announcements and West Texas Intermediate crude oil futures: a case study on the 2008 global financial crisis

Konstantinos Gkillas, Christoforos Konstantatos, Athanasios Tsagkanos and Dimitrios I. Vortelinos

Abstract

We examine the impact of international monetary policy and professionals' announcements on West Texas Intermediate crude oil futures. Our methodology features an event study and a case study. The event study refers to an analysis of each category of events, while the case study refers to the selection of a particular time period around the Lehman Brothers' collapse. The direction, magnitude and significance of impacts are assessed in terms of returns and volatility for both daily and weekly price, volume and open interest series. The research questions are assessed in a nonparametric quantile regression framework. Announcements are classified into four categories, three of which concern international monetary policy from the United Kingdom, the United States and the European Economic and Monetary Union, with the fourth category concerning financial professionals' announcements.