The Role of Speculators in the Crude Oil Futures Market

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-07-16 DOI:10.2139/ssrn.1435042

J. Harris, Bahattin Buyuksahin

引用次数: 66

Abstract

Abstract: The coincident rise in crude oil prices and increased numbers of financial participants in the crude oil futures market from 2000-2008 has led to allegations that "speculators" drive crude oil prices. As crude oil futures peaked at $147/bbl in July 2008, the role of speculators came under heated debate. In this paper, we employ unique data from the U.S. Commodity Futures Trading Commission (CFTC) to test the relation between crude oil prices and the trading positions of various types of traders in the crude oil futures market. We employ Granger Causality tests to analyze lead and lag relations between price and position data at daily and multiple day intervals. We find little evidence that hedge funds and other non-commercial (speculator) position changes Granger-cause price changes;–the results instead suggest that price changes do precede their position changes.

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投机者在原油期货市场中的作用

摘要:2000年至2008年期间，原油价格的同步上涨和原油期货市场金融参与者数量的增加导致了“投机者”推动原油价格的说法。当原油期货在2008年7月达到每桶147美元的峰值时，投机者的角色引发了激烈的争论。本文采用美国商品期货交易委员会(CFTC)的独特数据来检验原油价格与原油期货市场中各类交易者的交易头寸之间的关系。我们采用格兰杰因果检验来分析每日和多天间隔的价格和头寸数据之间的领先和滞后关系。我们发现很少有证据表明对冲基金和其他非商业(投机者)的头寸变化会导致价格变化;相反，结果表明价格变化确实先于他们的头寸变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets