Do speculators drive crude oil futures prices?

Energy Journal

Volumn 32, Issue 2, 2011, Pages 167-202

  Büyükşahin, Bahattin ^a   Harris, Jeffrey H ^b  

^a INTERNATIONAL ENERGY AGENCY   (France)

^b UNIVERSITY OF DELAWARE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79960178966     PISSN: 01956574     EISSN: None     Source Type: Journal    
DOI: 10.5547/ISSN0195-6574-EJ-Vol32-No2-7     Document Type: Article

References (31)

1. Boyd, Naomi, Bahattin Büyükşahin, Michael S. Haigh, and Jeffrey H. Harris (2009). "The Prevalence, Sources and Effects of Herding." CFTC Working Paper.
2. Brorsen, B.Wade and Scott H. Irwin. (1987). "Futures Funds and Price Volatility." The Review of Futures Markets 6(2): 118-135.
3. Brown, Stephen J., William N. Goetzmann, and James M. Park. (2000). "Hedge Funds and the Asian Currency Crisis of 1997," Journal of Portfolio Management 26(4): 95-101.
4. Brunetti, Celso, Bahattin Büyükşahin and Jeffrey H. Harris (2010). "Speculators, Prices and Market Volatility" CFTC Working Paper.
5. Büyükşahin, Bahattin, Michael S. Haigh, Jeffrey H. Harris, James A. Overdahl and Michel A. Robe (2009). "Fundamentals, Trader Activity and Derivative Pricing," CFTC Working Paper.
6. CFTC (2008). "Swap Dealers and Index Traders." Staff Report.
7. Davidson, Paul (2008). "Crude Oil Prices: Market Fundamentals or Speculation?" Challenge 51: 110-118.
8. DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann (1990). "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance 45(2): 379-395.
9. Dolado, Juan J. and Helmut Lütkepohl (1996). "Making Wald Tests Work for Cointegrated VAR Systems," Econometric Reviews 15(4): 369-386.
10. Friedman, Milton (1953). "The Case for Flexible Exchange Rates." in Essays in Positive Economics, Chicago: University of Chicago Press. 157-203.
11. Haigh, Michael S., Jana Hranaiova, and James A. Overdahl (2007). "Price Volatility, Liquidity Provision, and the Role of Hedge Funds in Energy Futures Markets" Journal of Alternative Investments 4: 10-38.
12. Hamilton, James D. (2009a), "Understanding Crude Oil Prices." Energy Journal 30(2): 179-206.
13. Hamilton, James D. (2009b). "Causes and Consequences of the Oil Shock of 2007-08" Brookings Papers on Economic Activity, Spring: 215-259.
14. Irwin, Scott H., and Bryce R. Holt (2004). "The Impact of Large Hedge Fund and CTA Trading on Futures Market Volatility." in Commodity Trading Advisors: Risk, Performance Analysis and Selection. Greg N. Gregoriou, Vassilios N. Karavas, Francois-Serge L'Habitant and Fabrice Rouah, editors, New York: John Wiley and Sons, Inc., 151-182.
15. Irwin Scott H., Robert P. Merrin, and Dwight R. Sanders (2009). "The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?" Review of Agricultural Economics 31, forthcoming.
16. Irwin, Scott H., and Satoko Yoshimaru (1999). "Managed Futures, Positive Feedback Trading, and Futures Price Volatility." The Journal of Futures Markets 19(7): 759-776.
17. Kilian, Lutz (2008). "The Economic Effects of Energy Price Shocks." Journal of Economic Literature 46(4): 871-909.
18. Kilian, Lutz (2009). "Not AU Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market" American Economic Review 99(3): 1053-1069.
19. Kilian, Lutz, and Ron Alquist (2010). "What Do We Learn from the Price of Crude Oil Futures?," Journal of Applied Econometrics, 25(4): 539-573.
20. Kilián, Lutz and Bruce Hicks (2009). "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?" University of Michigan Working Paper.
21. Kilian, Lutz, and Dan Murphy (2010). "The Role of Inventories and Speculative Trading in the Global Market for Crude Oil," University of Michigan Working Paper.
22. Parsons, John E. (2009). "Black Gold and Fools Gold: Speculation in the Oil Futures Market." Center for Energy and Environmental Policy Research, 09-013.
23. Peck, Anne E. (1981). "The Adequacy of Speculation on the Wheat, Corn, and Soybean Futures Markets." in Research in Domestic and International Agribusiness Management, R. A. Goldberg, ed., Greenwich, CN: JAI Press, Inc., Vol. 2: 17-29.
24. Peck, Anne. E. (1982). "Estimation of Hedging and Speculative Positions in Futures Markets Revisited." Food Research Institute Studies 18(2): 181-195.
25. Pesaran, M. Hashem and Yongcheol Shin, 1999. "An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis." In S. Strom, ed., Econometrics and Economic Theory in the Twentieth Century. New York, NY: Cambridge University Press.
26. Pirrong, Craig (2008). "Stochastic Fundamental Volatility, Speculation, and Commodity Storage." University of Houston Working Paper.
27. Sanders, Dwight R., Keith Boris, and Mark Manfredo (2004). "Hedgers, Funds, and Small Speculators in the Energy Futures Markets: An Analysis of the CFTCs Commitments of Traders Reports." Energy Economics (26): 425-445
28. Shleifer, Andrei and Lawrence H. Summers (1990). "The Noise Trader Approach to Finance." The Journal of Economic Perspectives 4(2): 19-33.
29. Smith, James L., (2009). "World Oil Market or Mayhem?" Journal of Economic Perspectives 23(4): 145-164
30. US Interagency Task Force on Markets (2008). Interim Report on Crude Oil. Staff Report.
31. Working, Holbrook (1960). "Speculation on Hedging Markets." Stanford University Food Research Institute Studies 1: 185-220.