Peter Arendas

Department of Banking and International Finance, 

University of Economics in Bratislava

Slovakia

p.arendas@centrum.sk

Seasonal patterns in oil prices and their implications for investors

Daniela Tkacova

Department of Banking and International Finance, 

University of Economics in Bratislava

Slovakia

dana.tkacova@euba.sk

Jan Bukoven

Department of Banking and International Finance, 

University of Economics in Bratislava

Slovakia

jan.bukoven@culture.gov.sk

Abstract. CThis paper focuses on the investigation of oil price seasonal patterns and their exploitability in the investment process. As oil is one of the most important and most traded commodities, a successful investment strategy exploiting seasonal patterns in oil price behaviour may be useful for many retail as well as institutional investors. The results show that during the 1983–2017 period, the Brent and WTI oil prices tended to record abnormally positive returns during the months of March, April and August and abnormally negative returns - during the months of October and November. The analysis also shows that simple investment strategies based on switching between the oil market and money market investments, that are utilizing the oil price seasonal patterns, can outperform in the long term.

Received: November, 2017

1st Revision: December, 2017

Accepted: March, 2018

DOI: 10.14254/2071-8330.2018/11-2/12

JEL Classification: Q02, G11, G15

Keywords: oil, Brent, WTI, seasonality, investment strategy