Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/149996 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Nota di Lavoro No. 70.2016
Verlag: 
Fondazione Eni Enrico Mattei (FEEM), Milano
Zusammenfassung: 
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.
Schlagwörter: 
Insider Trading
WTI Crude Oil Futures
Intraday Data
Inventory Release
JEL: 
G13
G14
Q4
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.37 MB





Publikationen in EconStor sind urheberrechtlich geschützt.