Speculative trading and WTI crude oil futures price movement: An empirical analysis

Yue-Jun Zhang ()

Applied Energy, 2013, vol. 107, issue C, 394-402

Abstract: Based on the historical data of CFTC’s Commitments of Traders (COT) reports from 2007 to 2010, this paper empirically studies the influence of speculators’ positions on WTI crude oil futures returns. The results indicate that, first, the instantaneous feedback of speculators’ position change on crude oil price return proves statistically significant and dominates the linear feedback relationship between them during the sample period although speculation does not appear a significant driver of crude oil price movement in the lead-and-lag sense. Second, the contemporaneous influence of speculators’ positions on oil price takes evident linearity but weak nonlinearity. Third, when oil price has high (low) volatility, non-commercials’ position change may exert a significant (insignificant) linear shock on oil price returns. And whether crude oil price stays in high or low volatility, the nonlinear influence does not appear significant. Finally, the linear influence appears symmetric when crude oil price goes up and down, but the nonlinear influence takes asymmetric feature; and neither of linear and nonlinear influence is symmetric when crude oil price experiences high and low volatility.

Keywords: Crude oil price; Hedge funds; Speculation; Linear feedback; COT reports (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0306261913001785
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:107:y:2013:i:c:p:394-402

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/journaldescription.cws_home/405891/bibliographic
http://www.elsevier. ... 405891/bibliographic

DOI: 10.1016/j.apenergy.2013.02.060

Access Statistics for this article

Applied Energy is currently edited by J. Yan

More articles in Applied Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().