Informed Trading in Oil-Futures Market
Informed Trading in Oil-Futures Market / Olivier Rousse and Benoît Sévi. Grenoble : GAEL, December 2016, 39 p. (Working paper GAEL ; 7/2016)
https://gael.univ-grenoble-alpes.fr/content/informed-trading-oil-futures-market
Autres références pour ce texte : FEEM nota di lavoro 73.2016 et USAEE Working Paper No. 16-289
Abstract :
The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than economists’ forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level. We also show a clear drop in the average price of -0.25% ahead of the news release. This is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to the news, and highlight an over-reaction that is partly compensated in the hours following the announcement.
OpenEdition vous propose de citer ce billet de la manière suivante :
Danièle Revel (6 décembre 2016). Informed Trading in Oil-Futures Market. Veille énergie climat. Consulté le 15 septembre 2024 à l’adresse https://doi.org/10.58079/ocg1
