Informed Trading in Oil-Futures Market

34 Pages Posted: 25 Nov 2016  

Olivier Rousse

Université Grenoble Alpes

Benoît Sévi

University of Nantes

Multiple version iconThere are 2 versions of this paper

Date Written: November 4, 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 finding 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 4, 2016). USAEE Working Paper No. 16-289. Available at SSRN: https://ssrn.com/abstract=2874907 or http://dx.doi.org/10.2139/ssrn.2874907

Olivier Rousse (Contact Author)

Université 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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