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An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event

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  • Corbet, Shaen
  • Hou, Yang (Greg)
  • Hu, Yang
  • Oxley, Les

Abstract

Intertwined with the persisting effects of the COVID-19 pandemic on the world economy, the price of WTI crude oil futures became negative on April 20, 2020. This anomalous incident has drawn much attention within the literature. This paper attempts to investigate the origins and specific impacts of the negative pricing event on the price discovery of WTI futures by employing a bivariate VECM-DCC-GARCH-SNP model, incorporating Legendre polynomials, where the dynamics of major information share measures at high-frequency time intervals are uncovered. Time-varying patterns of information share are identified across the period surrounding negative WTI prices. In particular, price discovery effects steadily abate after a sharp shock during the eight weeks before the negative pricing event. Peak price discovery differentials then re-occur within the negative-pricing event, before once again abating. Such results verify CFTC concerns surrounding the peculiarity of WTI futures trading conditions, that is, the conditions for the negative pricing event were well-established in the weeks before April 2020. Our results shed light on stylised evidence relating to the information efficiency of the international crude oil market more generally.

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  • Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event," Energy Economics, Elsevier, vol. 104(C).
    • Handle: RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004576
    DOI: 10.1016/j.eneco.2021.105589
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    More about this item

    Keywords

    Information flows; Price discovery; Oil; Crises; Negative prices; Volatility;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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