Informed Trading in Oil-Futures Market

39 Pages Posted: 18 Nov 2016 Last revised: 2 Mar 2017

See all articles by Olivier Rousse

Olivier Rousse

University Grenoble Alpes

Benoît Sévi

University of Nantes

Multiple version iconThere are 2 versions of this paper

Date Written: November 18, 2016

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 and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than economists’ forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level. We also show a clear drop in the average price of -0.25% ahead of the news release. This is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to the news, and highlight an over-reaction that is partly compensated in the hours following the announcement.

Keywords: Insider Trading, WTI Crude Oil Futures, Intraday Data, Inventory Release

JEL Classification: G13, G14, Q4

Suggested Citation

Rousse, Olivier and Sévi, Benoît, Informed Trading in Oil-Futures Market (November 18, 2016). FEEM Working Paper No. 70.2016. Available at SSRN: https://ssrn.com/abstract=2871932 or http://dx.doi.org/10.2139/ssrn.2871932

Olivier Rousse (Contact Author)

University Grenoble Alpes ( email )

France

Benoît Sévi

University of Nantes ( email )

1, quai de Tourville BP
Nantes Cedex 1
Nantes, 44313
France

HOME PAGE: http://www.iemniae.univ-nantes.fr/sevi-b/0/fiche___annuaireksup/

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