Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach
Haytem Troug () and
Rashid Sbia ()
MPRA Paper from University Library of Munich, Germany
This paper aims at providing empirical support to claims made by officials in oil-producing countries that investors in the New York stock Exchange market are involved in the disruption of oil production in some OPEC countries. The claims state that some investors in the NYSE are financing militias in those countries to close down oilfields and ports, and buy oil before this incident occurs. By doing so, they have access to information that no one else in the market has, and make profits from this information. Using a VAR model approach to detect this phenomenon, and being inspired by the asymmetric information theory, we fail to support those claims. We tried to put this theory under investigation by running test on three oil disruption incidents that occurred in 2013, and all of the results turned out to be insignificant. Nevertheless, this approach was able to detect a period which might involve asymmetric information in the NYSE. In addition, using a VAR model enabled us to measure the duration and magnitude of the effect of a shock in volumes of trade on oil prices in that market.
Keywords: stock Exchange market; OPEC countries; NYSE; Asymmetric Information; Oil Market (search for similar items in EconPapers)
JEL-codes: C50 C58 G02 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ara, nep-cfn and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/64933/1/MPRA_paper_64933.pdf original version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:64933
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().