Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149996
Authors: 
Rousse, Olivier
Sévi, Benoît
Year of Publication: 
2016
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 70.2016
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.
Subjects: 
Insider Trading
WTI Crude Oil Futures
Intraday Data
Inventory Release
JEL: 
G13
G14
Q4
Document Type: 
Working Paper

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