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Preços do petróleo e bolhas especulativas: algumas evidências para o mercado de WTI
[Crude oil prices and speculative bubbles: evidence from the WTI market]

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  • Cavalcante, Mileno

Abstract

The purpose of this work is to gather some evidence about the relationship between crude prices and speculation in oil futures and options markets focusing on WTI markets. In order to shed some light on this link, a brief characterization of what a speculative bubble is and how it works is given. It is also shown that the major reason behind the great inflow of capital into oil derivatives markets is that they became much more attractive to investors than other financial markets (i.e. stocks and bonds) between 2000 and 2007. The reasoning behind the speculative bubble argument is stated and a brief discussion about the strategies commercials and non-commercials adopted in WTI futures and options markets during 1995-2007 period is made. We confront this reasoning with the evidence from the non-commercial net positions and WTI prices from 2003 to 2007 and make some econometric tests for the hypotheses that changes in these positions affect prices and for the presence of a speculative bubble in WTI markets. Our analysis shows no clear linkage between oil prices and non-commercials net positions in the way the “bubble theory” argues and points to a possible problem of asymmetric information in the oil markets.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 28582.

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Date of creation: Aug 2008
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Handle: RePEc:pra:mprapa:28582

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Related research

Keywords: Bolhas especulativas; preços do petróleo; fundamentos de mercado; non-commercials; commercials;

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References

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  1. Robert J. Shiller, 1999. "Measuring Bubble Expectations and Investor Confidence," NBER Working Papers 7008, National Bureau of Economic Research, Inc.
  2. Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, December.
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Cited by:
  1. Cavalcante, Mileno, 2010. "An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009," MPRA Paper 24263, University Library of Munich, Germany.

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