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Hyper Article en Ligne
Article . 2019
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Article . 2019
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Mémoires en Sciences de l'Information et de la Communication
Article . 2019
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Mémoires en Sciences de l'Information et de la Communication
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Mémoires en Sciences de l'Information et de la Communication
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Mémoires en Sciences de l'Information et de la Communication
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The Energy Journal
Article . 2019 . Peer-reviewed
License: https://journals.sagepub.com/page/policies/text-and-data-mining-license
Data sources: Crossref
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HAL INRAE
Conference object . 2015
Data sources: HAL INRAE
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Article . 2019
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Conference object . 2016
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The Energy Journal
Journal
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Université de Nantes: HAL-UNIV-NANTES
Article . 2019
Data sources: Bielefeld Academic Search Engine (BASE)
Institut National de la Recherche Agronomique: ProdINRA
Article . 2019
Data sources: Bielefeld Academic Search Engine (BASE)
Université Grenoble Alpes: HAL
Article . 2019
Data sources: Bielefeld Academic Search Engine (BASE)
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Informed Trading in the WTI Oil Futures Market

descriptionPublicationkeyboard_double_arrow_right Article , Journal , Conference object 01 Mar 2019 France Publisher:SAGE PublicationsJournal:The Energy Journal, volume 40, pages 139-160 (issn: 0195-6574, eissn: 1944-9089, Copyright policy )
Authors: Rousse, Olivier; Sévi, Benoît;

doi: 10.5547/01956574.40.2.orou

Informed Trading in the WTI Oil Futures Market

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.

Country
France
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Keywords

WTI crude oil futures, 330, Inventory release, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS]Humanities and Social Sciences, Intraday data, Insider trading, [SHS.ECO] Humanities and Social Sciences/Economics and Finance

  • BIP!
    Impact byBIP!
    citations
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 6
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Average
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Average
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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
6
Top 10%
Average
Average
Related to Research communities
Energy Research