Informed Trading in Oil-Futures Market
| dc.creator | Rousse, Olivier | |
| dc.creator | Sévi, Benoît | |
| dc.date | 2017-04-01T13:57:46Z | |
| dc.date.accessioned | 2026-07-09T11:01:40Z | |
| dc.description | 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. | |
| dc.identifier | doi:10.22004/ag.econ.249788 | |
| dc.identifier | https://ageconsearch.umn.edu/record/249788/files/NDL2016-070.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/249788 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/624137 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/249788 | |
| dc.title | Informed Trading in Oil-Futures Market | |
| dc.type | Text |