Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/304091 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 11 [Issue:] 1 [Article No.:] 2213876 [Year:] 2023 [Pages:] 1-19
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate Blending) Gasoline, Heating Oil, and Natural Gas. Futures provide a more liquid insight into price movements relative to spot prices, where financial market participants can engage. We ensure the most appropriate price is used by focusing on the most liquid contracts by combining the front two months of the studied commodities nearing expiration. Our research shows that the DOW effect varies across the respective energy commodities; however, for investors engaged in trading these futures, our results may help time their trade decisions.
Schlagwörter: 
calendar anomalies
Day-of-the-week effect
EGARCH
EMH
GARCH
petroleum products
PGARCH
QGARCH
TGARCH
JEL: 
G11
G12
G14
L71
Q02
Q40
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Dokumentart: 
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