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Predictive abilities of speculators in energy markets

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  • Yulia Merkoulova

Abstract

Using nonparametric methodology, I find that speculators are successful in taking profitable positions in energy futures markets, although the magnitude of this effect is lower than that found previously for agricultural markets. A plausible explanation for this difference is that price forecasting is more difficult for energy commodities. Moreover, I find that the energy speculators’ returns are due to the existence of the risk premiums rather than to speculators’ forecasting abilities. Futures risk premium is highly time‐variant; notably, energy investors’ profits have been very limited in the GFC and post‐GFC period, which coincided with the financialization of commodity markets.

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  • Yulia Merkoulova, 2020. "Predictive abilities of speculators in energy markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 804-815, May.
    • Handle: RePEc:wly:jfutmk:v:40:y:2020:i:5:p:804-815
    DOI: 10.1002/fut.22058
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    References listed on IDEAS

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