The informational content of inventory announcements: Intraday evidence from crude oil futures market

- Inventory report effects on intraday crude oil futures market are investigated.
- API and EIA shocks affect immediate returns inversely and volatility positively.
- The duration of inventory shock effects is longer following EIA reports.
- The largest EIA impact is observed when Reuters and API both err on the same side.
- The return and volatility responses to EIA shocks exhibit asymmetric effects.

This paper examines the behavior of intraday crude oil futures return and volatility and how they respond to weekly inventory announcements by the American Petroleum Institute (API) and Energy Information Administration (EIA). The informational content of API reports is measured relative to market analysts' expectations collected by Reuters, whereas that of EIA reports is measured relative to API reports. Results suggest that unexpected inventory changes in both API and EIA reports exert an immediate inverse impact on returns and a positive impact on volatility; but the duration and magnitude of EIA inventory shocks are longer and larger, with the largest impact observed when Reuters and API both err on the same side. While there are no instant asymmetric return responses to positive and negative API shocks, the return and volatility responses to cross-commodity inventory shocks in EIA reports exhibit asymmetry.