OPEC news and predictability of oil futures returns and volatility : evidence from a nonparametric causality-in-quantiles approach

This paper provides a novel perspective to the predictive ability of OPEC meeting dates and production announcements for (Brent Crude and West Texas Intermediate) oil futures market returns and GARCH-based volatility using a nonparametric quantile-based methodology. We show a nonlinear relationship between oil futures returns and OPEC-based predictors; hence, linear Granger causality tests are misspecified and the linear model results of non-predictability are unreliable. When the quantile-causality test is implemented, we observe that the impact of OPEC variables is restricted to Brent Crude futures only (with no effect observed for the WTI market). Specifically, OPEC production announcements, and meeting dates predict only lower quantiles of the conditional distribution of Brent futures market returns. While, predictability of volatility covers the majority of the quantile distribution, barring extreme ends.Data for: OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach available at: https://data.mendeley.com/datasets/9kn8k22psf/1The second author is grateful for financial support from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2017S1A5B8057488).http://www.elsevier.com/locate/ecofin2019-07-01hj2019Economic