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dc.contributor.authorSharma, Muna
dc.date.accessioned2018-03-10T05:30:16Z
dc.date.available2018-03-10T05:30:16Z
dc.date.issued2017-08
dc.identifier.othersharma_muna_201708_ms
dc.identifier.urihttp://purl.galileo.usg.edu/uga_etd/sharma_muna_201708_ms
dc.identifier.urihttp://hdl.handle.net/10724/37459
dc.description.abstractWe examine the impact of inventory and macroeconomic news releases on market uncertainty, as measured by volatility of futures returns and volatility implied by options prices, in crude oil, heating oil, and natural gas derivative markets. We document strong inventory announcements effects in all three markets, with an increase in return volatility and a drop in implied volatility on the day of inventory report releases. There is little evidence of macroeconomic announcements impacting these energy markets. We also find existence of the day-of-the-week pattern in crude oil options and natural gas futures markets.
dc.languageeng
dc.publisheruga
dc.rightsOn Campus Only Until 2019-08-01
dc.subjectenergy derivatives, futures, implied volatility, options, return volatility, scheduled announcements
dc.titleDo scheduled announcements affect market uncertainty in energy derivative markets?
dc.typeThesis
dc.description.degreeMS
dc.description.departmentAgricultural and Applied Economics
dc.description.majorAgricultural Economics
dc.description.advisorBerna Karali
dc.description.committeeBerna Karali
dc.description.committeeJeffrey Dorfman
dc.description.committeeGregory Colson


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