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.



Citer ce billet
Danièle Revel (2016, 6 décembre). Informed Trading in Oil-Futures Market. Veille énergie climat. Consulté le 19 mai 2024, à l’adresse https://doi.org/10.58079/ocg1

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