Information Leakage in Energy Derivatives around News Announcements

Bohmann, MJM; Patel, V

Information Leakage in Energy Derivatives around News Announcements

Bohmann, MJM Patel, V

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Publisher:: Pageant Media US
Publication Type:: Journal Article
Citation:: The Journal of Derivatives, 2020, 27, (4), pp. 13-28
Issue Date:: 2020

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Field	Value	Language
dc.contributor.author	Bohmann, MJM
dc.contributor.author	Patel, V https://orcid.org/0000-0002-1696-3325
dc.date.accessioned	2020-12-22T04:22:28Z
dc.date.available	2020-12-22T04:22:28Z
dc.date.issued	2020
dc.identifier.citation	The Journal of Derivatives, 2020, 27, (4), pp. 13-28
dc.identifier.issn	1074-1240
dc.identifier.issn	2168-8524
dc.identifier.uri	http://hdl.handle.net/10453/144900
dc.description.abstract	The authors examine the behavior of US crude oil and natural gas futures options implied volatility–based measures as proxies for information leakage around news announcements between 2007 and 2017. In the five days preceding news releases, they find abnormal changes in the levels of futures options implied volatility spreads and skew. In addition, they report a statistically significant relationship between abnormal announcement date returns and abnormal changes in pre-announcement implied volatility spreads/skew. Their findings indicate that at least some investors are informed about the details of future crude oil and natural gas news.
dc.language	en
dc.publisher	Pageant Media US
dc.relation.ispartof	The Journal of Derivatives
dc.relation.isbasedon	10.3905/jod.2020.1.095
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1402 Applied Economics, 1502 Banking, Finance and Investment
dc.title	Information Leakage in Energy Derivatives around News Announcements
dc.type	Journal Article
utslib.citation.volume	27
utslib.for	1402 Applied Economics
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney
utslib.copyright.status	closed_access	*
pubs.consider-herdc	true
dc.date.updated	2020-12-22T04:22:22Z
pubs.issue	4
pubs.publication-status	Published
pubs.volume	27
utslib.citation.issue	4

Abstract:

The authors examine the behavior of US crude oil and natural gas futures options implied volatility–based measures as proxies for information leakage around news announcements between 2007 and 2017. In the five days preceding news releases, they find abnormal changes in the levels of futures options implied volatility spreads and skew. In addition, they report a statistically significant relationship between abnormal announcement date returns and abnormal changes in pre-announcement implied volatility spreads/skew. Their findings indicate that at least some investors are informed about the details of future crude oil and natural gas news.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/144900