This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Robert Weiner () (Resources for the Future)
Abstract

This paper looks at speculative behavior in the international oil market. Much of the blame for oil-market turbulence has been placed on speculators, particularly hedge funds. Speculative capital has been characterized as “hot money,” with capital flows driven by “herding,” “flocking,” and “contagion.” Policies to deal with volatility by weakening, or even disabling speculation, have been based largely on anecdote, convenience (speculators have long served as scapegoats for various problems), and ideology, rather than careful analysis. Part of the problem arises from the secrecy with which speculators operate. Because speculative trading cannot easily be observed, it is difficult to assess speculators’ contribution, if any, to volatility. The paper utilizes a large, detailed database on individual trader positions in crude-oil and heating-oil futures markets. The paper is exploratory, with focus on measuring and assessing the tendency of speculators to herd (trade in the same direction as a group) and flock (trade in the same direction by subgroups of speculators).

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.rff.org/documents/RFF-DP-06-31.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Resources For the Future in its series Discussion Papers with number dp-06-31.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 29 Jun 2006
Date of revision:
Handle: RePEc:rff:dpaper:dp-06-31

Contact details of provider:
Web page: http://www.rff.org
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Webmaster).

Related research
Keywords: oil; speculation; volatility; herding; derivatives; futures;

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
L71 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Hydrocarbon Fuels
Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Woochan Kim & Shang-Jin Wei, 1999. "Foreign Portfolio Investors Before and during a Crisis," OECD Economics Department Working Papers 210, OECD, Economics Department. [Downloadable!]
    Other versions:
  2. Eichengreen, Barry & Tobin, James & Wyplosz, Charles, 1995. "Two Cases for Sand in the Wheels of International Finance," Economic Journal, Royal Economic Society, vol. 105(428), pages 162-72, January. [Downloadable!] (restricted)
    Other versions:
  3. Takatosh Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is there private information in the FX market? the Tokyo experiment," Pacific Basin Working Paper Series 97-04, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  4. Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring. [Downloadable!] (restricted)
  5. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, 04. [Downloadable!] (restricted)
  6. Hartzmark, Michael L, 1987. "Returns to Individual Traders of Futures: Aggregate Results," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1292-1306, December. [Downloadable!] (restricted)
  7. Robert J Weiner, 2005. "Speculation in international crises: report from the Gulf," Journal of International Business Studies, Palgrave Macmillan Journals, vol. 36(5), pages 576-587, September. [Downloadable!] (restricted)
  8. Fung, William & Hsieh, David A., 1999. "A primer on hedge funds," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 309-331, September. [Downloadable!] (restricted)
  9. Flood, Robert P & Hodrick, Robert J, 1990. "On Testing for Speculative Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 85-101, Spring. [Downloadable!] (restricted)
  10. Phillips, Gordon M & Weiner, Robert J, 1994. "Information and Normal Backwardation as Determinants of Trading Performance: Evidence from the North Sea Oil Forward Market," Economic Journal, Royal Economic Society, vol. 104(422), pages 76-95, January. [Downloadable!] (restricted)
  11. Louis Ederington & Jae Ha Lee, 2002. "Who Trades Futures and How: Evidence from the Heating Oil Futures Market," Journal of Business, University of Chicago Press, vol. 75(2), pages 353-374, April. [Downloadable!]
  12. Devenow, Andrea & Welch, Ivo, 1996. "Rational herding in financial economics," European Economic Review, Elsevier, vol. 40(3-5), pages 603-615, April. [Downloadable!] (restricted)
  13. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August. [Downloadable!] (restricted)
  14. Scharfstein, David S & Stein, Jeremy C, 1990. "Herd Behavior and Investment," American Economic Review, American Economic Association, vol. 80(3), pages 465-79, June.
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? It is the publishers that input data about their publications, as there is no staff at RePEc.

This page was last updated on 2009-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.