Intraday Liquidity in International Crude Oil Futures Markets: News Impacts, Commonality, and Spillovers
利用逐笔数据研究WTI、布伦特和INE原油期货的日内流动性，发现美国EIA库存公告显著影响收益和流动性，流动性存在强共同性且主要由供给因素驱动，WTI是流动性溢出的主导来源。
ABSTRACT Using tick‐by‐tick data, this study examines intraday liquidity of WTI, Brent, and INE crude oil futures. US EIA inventory announcements significantly affect intraday returns and, to a lesser extent, liquidity across all three markets. We document strong commonality in intraday liquidity, largely driven by supply‐side factors, and find that WTI is the dominant source of liquidity spillovers, a pattern not mirrored in return spillovers. These findings highlight different mechanisms behind liquidity commonality and return comovements. The results are robust to additional control variables and alternative liquidity measures.