Abstract
While there exists today ample evidence of the weekend effect in the equity and currency markets, similar evidence in the commodities market remains sparse. In this paper, we investigate the presence of the weekend effect in crude oil and natural gas markets. The sample uses daily spot returns in crude oil (WTI and Brent) and natural gas markets from the U.S. Energy Information Administration for periods beginning as early as data is available (1986, 1987, and 1997 respectively) through May 2017. We estimate robust OLS and median regression models across the entire sample period and three approximately equal subperiods for each of the commodities. We find evidence of the weekend effect for WTI and Brent commodities whiledocumenting a “reverse” weekend effect in natural gas returns.
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