Informed Trading in Oil-Futures MarketOlivier Rousse and Benoît Sévi No 249788, ESP: Energy Scenarios and Policy from Fondazione Eni Enrico Mattei (FEEM) 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: Financial; Economics (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ags:feemes:249788 Access Statistics for this paper More papers in ESP: Energy Scenarios and Policy from Fondazione Eni Enrico Mattei (FEEM) Contact information at EDIRC. |
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