Event Study of the Crude Oil Futures Market: A Mixed Event Response Model
扩展了分布事件响应模型，提出混合事件响应模型以允许非对称效应，并考察事件对原油期货收益和波动率的影响。基于25年日度数据发现，2008年金融危机影响最大，不同事件的影响持续期各异。
Abstract We extend the distributional event response model (DERM) of Rucker, Thurman, and Yoder (2005) in two ways. First, we develop a mixed event response model (MERM) to allow for possible asymmetric effects, and second, we examine how volatility, in addition to return, changes surrounding an event. We apply our model to the crude oil futures market using 25 years of daily data. Our results show that among the 10 events considered, the 2008 global financial crisis had the largest impact in magnitude on both return and volatility. The location and duration of response patterns are also found to vary across different events, with the financial crises having long‐lasting impacts, while truly unanticipated events, such as the September 11 terrorist attacks, having short‐lived impacts. Results suggest that simply using an event‐day dummy variable would hinder discovering overall market responses to slowly evolving information events.