The 1973 oil crisis and the major economic and geopolitical events (see, for instance, Salameh (2014)) since then shed light on the economic vital importance (see Bollino (2007)) of oil prices and their high level of volatility, as well as the role played by the Organization of Petroleum Exporting Countries (OPEC) in oil markets. Indeed, its members produce 40% of the world’s crude oil and their exports represent about 60% of the traded oil internationally (see Matsumoto et al. (2012)). The impact of OPEC decisions about the production level (increase, cut or maintain) on oil prices is a controversial issue among policy makers, regulators, and academics in particular. For some, this impact is weak or has been declining over time, especially lately as more and more nonOPEC producing countries increase their market share. For others, the impact is strong as prices deviate from their competitive level when members modify their oil production. Finally, there are some who support the viewpoint that OPEC’s impact changes over time as a result of prevailing market conditions. The role of OPEC may also be scrutinized through the lens of the recent evolution of oil prices and the exploration of new oil resources. Indeed, we have seen oil prices not only breaking the $40 bbl long-run level but staying for a long time at $80 bbl, which is the level that makes the exploration and extraction of more expensive/unconventional oil resources economically viable (for instance, US shale oil, Canada’s tar sands, Brazil’s deep-sea offshore oil, Venezuela’s heavy oil, and Arctic offshore oil, among others). Moreover, it is estimated that these resources represent about 50% of the global oil and gas proven reserves, thus increasing the importance of other non-OPEC producing countries still more on the global energy scene and reducing the influence on global oil prices of OPEC announcements. In this paper, we investigate the informational role of OPEC and its (potential) contribution to oil price formation. Our aim is to examine, by using the event study methodology (see, for instance, MacKinlay (1997)), how OPEC announcements can affect oil prices, which are characterized by a time-varying volatility.