Abstract
We examine the impact of international monetary policy and professionals’ announcements on WTI crude oil futures. The methodology is an event and 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, that is, a time period around the Lehman Brothers collapse. The direction, magnitude and significance of impacts are assessed in returns and volatility for price, volume and open interest series in both daily and weekly frequency. The research questions are assessed in a non-parametric quantile regression framework. Announcements are classified into four categories in total, three of which concern international monetary policy from the UK, the US, and the European Monetary Union, with the fourth category concerning financial professionals’ announcements.
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