Informed Trading in the WTI Oil Futures Market

被引：5
|
作者：
Rousse, Olivier [1 ]
Sevi, Benoit [2 ]
机构：
[1] Univ Grenoble Alpes, CNRS, INRA, Grenoble INP,GAEL, F-38000 Grenoble, France
[2] Univ Nantes, LEMNA, BP 52231,Chemin Cens Tertre, F-44322 Nantes, France
来源：
ENERGY JOURNAL | 2019年 / 40卷 / 02期
关键词：
Insider trading; WTI crude oil futures; Intraday data; Inventory release; INVENTORY ANNOUNCEMENTS; DIVIDEND ANNOUNCEMENTS; INTRADAY EVIDENCE; COMMODITY PRICES; EXCHANGE-RATES; ENERGY PRICES; SPOT PRICES; INFORMATION; DYNAMICS; STORAGE;
D O I：
10.5547/01956574.40.2.orou
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than market forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level, with a drop in the average price of -0.25% ahead of the news release. This finding is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to oil-inventory news, and highlight an over-reaction that is partly compensated in the hours following the announcement.
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页码：139 / 159
页数：21
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