ABSTRACT Using tick‐by‐tick data, this study examines intraday liquidity of WTI, Brent, and INE crude oil futures. US EIA inventory announcements significantly affect intraday returns and, to a lesser extent, liquidity across all three markets. We document strong commonality in intraday liquidity, largely driven by supply‐side factors, and find that WTI is the dominant source of liquidity spillovers, a pattern not mirrored in return spillovers. These findings highlight different mechanisms behind liquidity commonality and return comovements. The results are robust to additional control variables and alternative liquidity measures.
Miao et al. (Tue,) studied this question.