Day-of-the-week effect: Petroleum and petroleum products

This study tests for calendar anomalies in returns petroleum and products via the futures market, specifically, day-of-the-week (DOW) effect. The energy future contracts this are WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock Oxygenate Blending) Gasoline, Heating Oil, Natural Gas. Futures provide a more liquid insight into price movements relative to spot prices, where financial market participants can engage. We ensure most appropriate is used by focusing on combining front two months of studied commodities nearing expiration. Our research shows that DOW effect varies across respective commodities; however, investors engaged trading these futures, our results may help time their trade decisions.