Intraday and overnight tail risks in the crude oil market: Evidence from oil-related regular news and extreme shocks

This study examines the possible impacts of various market shocks, covering oil-related regular news releases (Energy Information Administration, American Petroleum Institute's news, and Organization of the Petroleum Exporting Countries meetings), and extreme shocks (the global financial crisis of 2008, the oil price crash of 2014–2015, and the COVID-19 outbreak), on the intraday and overnight variations in tail risk and intraday return predictability in the crude oil market using high-frequency United States Oil Fund data from April 10, 2008, to May 10, 2022. First, we find that both regular news and extreme shocks significantly impact the distribution of tail risk during daytime trading and overnight non-trading sessions, with the latter showing stronger effects. Second, extreme shocks have a greater impact on intraday return predictability, with most market shocks obliterating the predictive power of first half-hour returns. Third, the predictability of the first half-hour returns comes primarily from the market opening session from 9:30 am to 10:00 am, and overnight returns lose their predictability. These results have important implications for both market participants and policymakers.