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Informed trading in the WTI oil futures markets

Author

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  • Olivier Rousse

    (GAEL - Laboratoire d'Economie Appliquée de Grenoble - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - INRA - Institut National de la Recherche Agronomique - CNRS - Centre National de la Recherche Scientifique - UGA [2016-2019] - Université Grenoble Alpes [2016-2019])

  • Benoît Sévi

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

Abstract

The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than market forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level, with a drop in the average price of -0.25% ahead of the news release. This finding is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to oil-inventory news, and highlight an over-reaction that is partly compensated in the hours following the announcement.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Olivier Rousse & Benoît Sévi, 2016. "Informed trading in the WTI oil futures markets," Post-Print hal-02089730, HAL.
    • Handle: RePEc:hal:journl:hal-02089730
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    References listed on IDEAS

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    Cited by:

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    2. Zhao, Wandi & Gao, Yang, 2023. "Network connectedness and the contagion structure of informed trading: Evidence from the time and frequency domains," International Review of Financial Analysis, Elsevier, vol. 90(C).
    3. Gabriel B. Snashall & Helen M. Poulos, 2023. "‘Smallholding for Whom?’: The effect of human capital appropriation on smallholder palm farmers," Agriculture and Human Values, Springer;The Agriculture, Food, & Human Values Society (AFHVS), vol. 40(4), pages 1599-1619, December.

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    • F0 - International Economics - - General

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