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Informed trading in oil-futures market

Olivier Rousse () and Benoît Sévi ()

Working Papers from Grenoble Applied Economics Laboratory (GAEL)

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.

Keywords: INSIDER TRADING; WTI CRUDE OIL FUTURES; INTRADAY DATA; INVENTORY RELEASE (search for similar items in EconPapers)
JEL-codes: G13 G14 Q4 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene, nep-fmk and nep-mst
Date: 2016
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Related works:
Working Paper: Informed trading in oil futures markets (2017)
Working Paper: Informed trading in oil futures markets (2017)
Working Paper: Informed Trading in Oil-Futures Market (2017) Downloads
Working Paper: Informed Trading in Oil-Futures Market (2016) Downloads
Working Paper: Informed Trading in Oil-Futures Market (2016) Downloads
Working Paper: Informed Trading in Oil-Futures Market (2016) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:gbl:wpaper:2016-07

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