In this chapter, we apply the new measure of speculative activities (hereafter, named the speculative ratio) in Chan, Nguyen, and Chan (2013) to study the relationship between those activities and volatility in the oil futures market. We document that the speculative ratio (trading volume...

We study the impact of the announcements released by the US Energy Information Administration (EIA) crude oil storage every Wednesday at 10:30 ET (the beginning of the third half-hour interval) on intraday return predictability, that is, intraday momentum. Our results indicate that returns on...