Citations (20)



Investor Flows and the 2008 Boom/Bust in Oil Prices

Kenneth J. Singleton

Stanford University - Graduate School of Business

March 23, 2011

This paper explores the impact of investor flows and financial market conditions on returns in crude-oil futures markets. I begin with a review of the economic mechanisms by which informational frictions and the associated speculative activity may induce prices to drift away from fundamental" values and show increased volatility. This is followed by a discussion of the interplay between imperfect information about real economic activity, including supply, demand, and inventory accumulation, and speculative activity. Finally, I present new evidence that there was an economically and statistically significant effect of investor flows on futures prices, after controlling for returns in US and emerging-economy stock markets, a measure of the balance-sheet flexibility of large financial institutions, open interest, the futures/spot basis, and lagged returns on oil futures. The intermediate-term growth rates of index positions and managed-money spread positions had the largest impacts on futures prices.

Number of Pages in PDF File: 35

Open PDF in Browser Download This Paper

Date posted: March 28, 2011  

Suggested Citation

Singleton, Kenneth J., Investor Flows and the 2008 Boom/Bust in Oil Prices (March 23, 2011). Available at SSRN: http://ssrn.com/abstract=1793449 or http://dx.doi.org/10.2139/ssrn.1793449

Contact Information

Kenneth J. Singleton (Contact Author)
Stanford University - Graduate School of Business ( email )
Knight Management Center
655 Knight Way
Stanford, CA 94305-7298
United States
650-723-5753 (Phone)
HOME PAGE: http://www.stanford.edu/~kenneths

Feedback to SSRN

Paper statistics
Abstract Views: 2,914
Downloads: 859
Download Rank: 17,087
Citations:  20

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.563 seconds