Informed Trading in Oil-Futures Market

Olivier Rousse and Benoît Sévi

Working Papers from HAL

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)
Date: 2016-12-01
New Economics Papers: this item is included in nep-ene and nep-mst
Note: View the original document on HAL open archive server: https://hal.science/hal-01410093v2
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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 (2016)
Working Paper: Informed Trading in Oil-Futures Market (2016)
Working Paper: Informed trading in oil-futures market (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01410093

DOI: 10.2139/ssrn.2871932

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