Informed Trading in the WTI Oil Futures Market

Olivier Rousse and Benoit Sevi
Authors registered in the RePEc Author Service: Olivier Rousse

The Energy Journal, 2019, vol. Volume 40, issue Number 2

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. 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.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Informed Trading in the WTI Oil Futures Market (2019)
Working Paper: Informed trading in the WTI oil futures markets (2017)
Working Paper: Informed trading in the WTI oil futures markets (2017)
Working Paper: Informed trading in the WTI oil futures markets (2017)
Working Paper: Informed trading in the WTI oil futures markets (2016)
Working Paper: Informed trading in the WTI oil futures markets (2015)
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