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Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant

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  • Möbert, Jochen
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    Abstract

    This article discusses the influence of speculators in the futures market on crude oil prices. The results suggest the dispersion in beliefs influences both crude oil prices and price volatility. --

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    File URL: http://econstor.eu/bitstream/10419/40638/1/634349708.pdf
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    Bibliographic Info

    Paper provided by Deutsche Bank Research in its series Research Notes with number 32e.

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    Date of creation: 2009
    Date of revision:
    Handle: RePEc:zbw:dbrrns:32e

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    Related research

    Keywords: crude oil market; futures market; speculation;

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    References

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    1. Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
    2. Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-30.
    3. Harrison, J Michael & Kreps, David M, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, MIT Press, vol. 92(2), pages 323-36, May.
    4. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
    5. James D. Hamilton, 2009. "Understanding Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 179-206.
    6. H. Henry Cao & Hui Ou-Yang, 2009. "Differences of Opinion of Public Information and Speculative Trading in Stocks and Options," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 299-335, January.
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    Cited by:
    1. Chevallier, Julien, . "Etudes économétriques récentes réalisées à partir des données de la CFTC," Economics Papers from University Paris Dauphine 123456789/4603, Paris Dauphine University.

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