全球智库信息集成服务系统(G2TT): Informed Trading in Oil-Futures Market

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Informed Trading in Oil-Futures Market
	Olivier Rousse; Benoit Sévi
发表日期	2016
出处	Energy Scenarios and Policy
出版年	2016
语种	英语
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 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. *** Suggested citation: Rousse, O., B. Sévi, (2016), 'Informed Trading in Oil-Futures Market', Nota di Lavoro 70.2016, Milan, Italy: Fondazione Eni Enrico Mattei
特色分类	G13;G14;Q4
关键词	Insider Trading WTI Crude Oil Futures Intraday Data Inventory Release
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/informed-trading-in-oil-futures-market/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118441
推荐引用方式 GB/T 7714	Olivier Rousse,Benoit Sévi. Informed Trading in Oil-Futures Market. 2016.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
201611161212131Nota_（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
201611161212294NDL20（1366KB）	智库出版物		限制开放	CC BY-NC-SA	浏览