Calendar Effects in the Market of Crude Oil

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Anna Górska
Monika Krawiec

This paper investigates calendar effects in the crude oil market using daily data over the period January 4, 2000 to December 31, 2014 for two global oil pricing benchmarks: West Texas Intermediate (WTI) and Brent. Results of performing statistical tests of equality of two means and of equality of two variances reveal the presence of both day-of-the week and month-of-the-year effects.

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Górska, A., & Krawiec, M. (2015). Calendar Effects in the Market of Crude Oil. Zeszyty Naukowe SGGW W Warszawie - Problemy Rolnictwa Światowego, 15(4), 62–70.

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