Estimation results of the causality test between the OPEC news and the energy futures over the period from April 01, 2013 to June 30, 2017
| Null hypothesis | Obs | F-statistic | Prob |
|---|---|---|---|
| NATURAL_GAS_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 1.15315 | 0.3160 |
| OPEC_NEWS does not Granger cause NATURAL_GAS_FUTURES | 5.37526* | 0.0000 | |
| LONDON_GAS_OIL_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 2.30123 | 0.1006 |
| OPEC_NEWS does not Granger cause LONDON_GAS_OIL_FUTURES | 4.13189* | 0.0000 | |
| HEATING_OIL_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 0.87632 | 0.4166 |
| OPEC_NEWS does not Granger cause HEATING_OIL_FUTURES | 4.24030* | 0.0000 | |
| GASOLINE_RBOB_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 0.50636 | 0.6028 |
| OPEC_NEWS does not Granger cause GASOLINE_RBOB_FUTURES | 5.59009* | 0.0000 | |
| CRUDE_OIL_WTI_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 1.32987 | 0.2649 |
| OPEC_NEWS does not Granger cause CRUDE_OIL_WTI_FUTURES | 5.42626* | 0.0000 | |
| BRENT_OIL_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 0.08951 | 0.9144 |
| OPEC_NEWS does not Granger cause BRENT_OIL_FUTURES | 5.74415* | 0.0000 | |
| Null hypothesis | Obs | Prob | |
|---|---|---|---|
| NATURAL_GAS_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 1.15315 | 0.3160 |
| OPEC_NEWS does not Granger cause NATURAL_GAS_FUTURES | 5.37526* | 0.0000 | |
| LONDON_GAS_OIL_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 2.30123 | 0.1006 |
| OPEC_NEWS does not Granger cause LONDON_GAS_OIL_FUTURES | 4.13189* | 0.0000 | |
| HEATING_OIL_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 0.87632 | 0.4166 |
| OPEC_NEWS does not Granger cause HEATING_OIL_FUTURES | 4.24030* | 0.0000 | |
| GASOLINE_RBOB_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 0.50636 | 0.6028 |
| OPEC_NEWS does not Granger cause GASOLINE_RBOB_FUTURES | 5.59009* | 0.0000 | |
| CRUDE_OIL_WTI_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 1.32987 | 0.2649 |
| OPEC_NEWS does not Granger cause CRUDE_OIL_WTI_FUTURES | 5.42626* | 0.0000 | |
| BRENT_OIL_FUTURES does not Granger cause OPEC_NEWS | 1,071 | 0.08951 | 0.9144 |
| OPEC_NEWS does not Granger cause BRENT_OIL_FUTURES | 5.74415* | 0.0000 | |
Notes:
This table reports estimated coefficients from causality tests. To empirically test this model, we use daily return series of six energy futures (crude oil WTI, gasoline RBOB, Brent oil, London gas oil, natural gas and heating oil) and the OPEC news over the period of study from July 22, 2010 to June 30, 2017. Statistical significance at the 1% is denoted by*