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

Author

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  • Möbert, Jochen

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.

Suggested Citation

  • Möbert, Jochen, 2009. "Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant," Research Notes 32e, Deutsche Bank Research.
  • Handle: RePEc:zbw:dbrrns:32e
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    File URL: https://www.econstor.eu/bitstream/10419/40638/1/634349708.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
    3. James D. Hamilton, 2009. "Understanding Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 179-206.
    4. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
    5. 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.
    6. J. Michael Harrison & David M. Kreps, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, Oxford University Press, vol. 92(2), pages 323-336.
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    Citations

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    Cited by:

    1. Julien Chevallier, 2010. "Etudes économétriques récentes réalisées à partir des données de la CFTC," Working Papers halshs-00458917, HAL.

    More about this item

    Keywords

    crude oil market; futures market; speculation;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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