메뉴 건너뛰기




Volumn 107, Issue , 2013, Pages 394-402

Speculative trading and WTI crude oil futures price movement: An empirical analysis

Author keywords

COT reports; Crude oil price; Hedge funds; Linear feedback; Speculation

Indexed keywords

COMMERCE; CRUDE OIL;

EID: 84875593054     PISSN: 03062619     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apenergy.2013.02.060     Document Type: Article
Times cited : (72)

References (38)
  • 1
    • 77956174145 scopus 로고    scopus 로고
    • What is behind the increase in oil prices? Analyzing oil consumption and supply relationship with oil price
    • Gallo A., Mason P., Shapiro S., Fabritius M. What is behind the increase in oil prices? Analyzing oil consumption and supply relationship with oil price. Energy 2010, 35:4126-4141.
    • (2010) Energy , vol.35 , pp. 4126-4141
    • Gallo, A.1    Mason, P.2    Shapiro, S.3    Fabritius, M.4
  • 2
    • 52949096455 scopus 로고    scopus 로고
    • Spillover effect of US dollar exchange rate on international crude oil price
    • Zhang Y.J., Fan Y., Tsai H.T., Wei Y.M. Spillover effect of US dollar exchange rate on international crude oil price. J Policy Model 2008, 30:973-991.
    • (2008) J Policy Model , vol.30 , pp. 973-991
    • Zhang, Y.J.1    Fan, Y.2    Tsai, H.T.3    Wei, Y.M.4
  • 3
    • 79960663221 scopus 로고    scopus 로고
    • The dynamic influence of advanced stock market risk on international crude oil return: an empirical analysis
    • Zhang Y.J., Wei Y.M. The dynamic influence of advanced stock market risk on international crude oil return: an empirical analysis. Quant Financ 2011, 11:967-978.
    • (2011) Quant Financ , vol.11 , pp. 967-978
    • Zhang, Y.J.1    Wei, Y.M.2
  • 4
    • 84874294311 scopus 로고    scopus 로고
    • Speculative trading & oil price dynamic: a study of the WTI market
    • Hache E., Lantz F. Speculative trading & oil price dynamic: a study of the WTI market. Energy Econ 2013, 36:334-340.
    • (2013) Energy Econ , vol.36 , pp. 334-340
    • Hache, E.1    Lantz, F.2
  • 5
    • 85021186257 scopus 로고    scopus 로고
    • few speculators dominate vast market for oil trading. Washington Post. ;[cited 10.12.11]
    • Cho D. A few speculators dominate vast market for oil trading. Washington Post. ; 2008 [cited 10.12.11]. http://www.washingtonpost.com/wp-dyn/content/article/2008/08/20/AR2008082003898.html.
    • (2008)
    • Cho, D.A.1
  • 8
    • 79952576986 scopus 로고    scopus 로고
    • Index funds, financialization, and commodity futures markets
    • Irwin S.H., Sanders D.R. Index funds, financialization, and commodity futures markets. Appl Econ Perspect Policy 2011, 33:1-31.
    • (2011) Appl Econ Perspect Policy , vol.33 , pp. 1-31
    • Irwin, S.H.1    Sanders, D.R.2
  • 9
    • 84875635488 scopus 로고    scopus 로고
    • Citigroup. Commodity heap. ;[cited 10.12.11]
    • Citigroup. Commodity heap. ; 2006 [cited 10.12.11]. https://www.citigroupgeo.com/pdf/SZB180995.pdf.
    • (2006)
  • 10
    • 85003773114 scopus 로고    scopus 로고
    • Price speculation bubbles under the financial background of international crude oil market
    • Liu F. Price speculation bubbles under the financial background of international crude oil market. Int Pet Econ 2007, 15:33-38.
    • (2007) Int Pet Econ , vol.15 , pp. 33-38
    • Liu, F.1
  • 11
    • 84875606129 scopus 로고    scopus 로고
    • The oil price really is a speculative bubble. Working paper, MIT;
    • Eckaus RS. The oil price really is a speculative bubble. Working paper, MIT; 2008.
    • (2008)
    • Eckaus, R.S.1
  • 12
    • 85021237597 scopus 로고    scopus 로고
    • Dispersion in beliefs among speculators as a determinant of crude oil prices. Res Notes, Deutsche Bank Res;
    • Möbert J. Dispersion in beliefs among speculators as a determinant of crude oil prices. Res Notes, Deutsche Bank Res; 2009.
    • (2009)
    • Möbert, J.1
  • 13
    • 74149083861 scopus 로고    scopus 로고
    • Oil price dynamics and speculation: a multivariate financial approach
    • Cifarelli G., Paladino G. Oil price dynamics and speculation: a multivariate financial approach. Energy Econ 2010, 32:363-372.
    • (2010) Energy Econ , vol.32 , pp. 363-372
    • Cifarelli, G.1    Paladino, G.2
  • 14
    • 67349134984 scopus 로고    scopus 로고
    • Oil prices, speculation, and fundamentals: interpreting causal relations among spot and futures prices
    • Kaufmann R.K., Ullman B. Oil prices, speculation, and fundamentals: interpreting causal relations among spot and futures prices. Energy Econ 2009, 31:550-558.
    • (2009) Energy Econ , vol.31 , pp. 550-558
    • Kaufmann, R.K.1    Ullman, B.2
  • 15
    • 70349904040 scopus 로고    scopus 로고
    • Understanding crude oil prices
    • Hamilton J.D. Understanding crude oil prices. Energy J 2009, 30:179-206.
    • (2009) Energy J , vol.30 , pp. 179-206
    • Hamilton, J.D.1
  • 16
    • 78549272312 scopus 로고    scopus 로고
    • The role of market fundamentals and speculation in recent price changes for crude oil
    • Kaufmann R.K. The role of market fundamentals and speculation in recent price changes for crude oil. Energy Policy 2011, 39:105-115.
    • (2011) Energy Policy , vol.39 , pp. 105-115
    • Kaufmann, R.K.1
  • 17
    • 24944482659 scopus 로고    scopus 로고
    • Speculation in international crises: report from the gulf
    • Weiner R.J. Speculation in international crises: report from the gulf. J Int Bus Stud 2005, 36:576-587.
    • (2005) J Int Bus Stud , vol.36 , pp. 576-587
    • Weiner, R.J.1
  • 18
    • 2942736903 scopus 로고    scopus 로고
    • Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's commitments of traders reports
    • Sanders D.R., Boris K., Manfredo M. Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's commitments of traders reports. Energy Econ 2004, 26:425-445.
    • (2004) Energy Econ , vol.26 , pp. 425-445
    • Sanders, D.R.1    Boris, K.2    Manfredo, M.3
  • 19
    • 84875608796 scopus 로고    scopus 로고
    • The relation between crude oil futures market speculation and oil price
    • Du W. The relation between crude oil futures market speculation and oil price. Int Pet Econ 2007, 15:35-40.
    • (2007) Int Pet Econ , vol.15 , pp. 35-40
    • Du, W.1
  • 20
    • 74349084789 scopus 로고    scopus 로고
    • More on oil and speculation
    • ;[cited 10.12.12]
    • Krugman P. More on oil and speculation. New York Times. ; 2008 [cited 10.12.12]. http://krugman.blogs.nytimes.com/2008/05/13/more-on-oil-and-speculation/.
    • (2008) New York Times
    • Krugman, P.1
  • 21
    • 85021216029 scopus 로고    scopus 로고
    • ITF (Interagency Task Force on Commodity Markets). Interim report on crude oil. Washington DC;
    • ITF (Interagency Task Force on Commodity Markets). Interim report on crude oil. Washington DC; 2008.
    • (2008)
  • 23
    • 74349114558 scopus 로고    scopus 로고
    • A speculative bubble in commodity futures prices? Cross-sectional evidence
    • Sanders D.R., Irwin S.H. A speculative bubble in commodity futures prices? Cross-sectional evidence. Agr Econ 2010, 41:25-32.
    • (2010) Agr Econ , vol.41 , pp. 25-32
    • Sanders, D.R.1    Irwin, S.H.2
  • 24
    • 79960198398 scopus 로고    scopus 로고
    • The impact of index funds in commodity futures markets: a systems approach
    • Sanders D.R., Irwin S.H. The impact of index funds in commodity futures markets: a systems approach. J Alter Invest 2011, 14:40-49.
    • (2011) J Alter Invest , vol.14 , pp. 40-49
    • Sanders, D.R.1    Irwin, S.H.2
  • 25
    • 0039002155 scopus 로고    scopus 로고
    • Hedging pressure effects in futures markets
    • De Roon F.A., Nijman T.E., Veld C. Hedging pressure effects in futures markets. J Financ 2000, 55:1437-1456.
    • (2000) J Financ , vol.55 , pp. 1437-1456
    • De Roon, F.A.1    Nijman, T.E.2    Veld, C.3
  • 26
    • 0141942622 scopus 로고    scopus 로고
    • Who trades futures and how: evidence from the heating oil market
    • Ederington L., Lee J.H. Who trades futures and how: evidence from the heating oil market. J Bus 2002, 75:353-373.
    • (2002) J Bus , vol.75 , pp. 353-373
    • Ederington, L.1    Lee, J.H.2
  • 27
    • 33745608742 scopus 로고    scopus 로고
    • Hedging or speculation in derivative markets: the case of energy futures contracts
    • Ciner C. Hedging or speculation in derivative markets: the case of energy futures contracts. Appl Finan Econ Lett 2006, 2:189-192.
    • (2006) Appl Finan Econ Lett , vol.2 , pp. 189-192
    • Ciner, C.1
  • 28
    • 0000472488 scopus 로고
    • Likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey D., Fuller W. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 1981, 49:1057-1072.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.1    Fuller, W.2
  • 29
    • 0003297017 scopus 로고
    • Causality, cointegration and control
    • Granger C.W.J. Causality, cointegration and control. J Econ Dyn Control 1988, 12:551-559.
    • (1988) J Econ Dyn Control , vol.12 , pp. 551-559
    • Granger, C.W.J.1
  • 30
    • 84894912254 scopus 로고
    • Measurement of linear dependence and feedback between time series
    • Geweke J. Measurement of linear dependence and feedback between time series. J Am Stat Assoc 1982, 79:304-324.
    • (1982) J Am Stat Assoc , vol.79 , pp. 304-324
    • Geweke, J.1
  • 31
    • 0002315577 scopus 로고    scopus 로고
    • Causality and feedback between institutional measures and economic growth
    • Chong A., Calderón C. Causality and feedback between institutional measures and economic growth. Econ Politics 2000, 12:69-81.
    • (2000) Econ Politics , vol.12 , pp. 69-81
    • Chong, A.1    Calderón, C.2
  • 32
    • 0042126686 scopus 로고    scopus 로고
    • The direction of causality between financial development and economic growth
    • Calderón C., Liu L. The direction of causality between financial development and economic growth. J Dev Econ 2003, 72:321-334.
    • (2003) J Dev Econ , vol.72 , pp. 321-334
    • Calderón, C.1    Liu, L.2
  • 33
    • 0033270691 scopus 로고    scopus 로고
    • Asymmetric volatility and risk in equity markets
    • Bekaert G., Wu G. Asymmetric volatility and risk in equity markets. Rev Finan Stud 2000, 13:1-42.
    • (2000) Rev Finan Stud , vol.13 , pp. 1-42
    • Bekaert, G.1    Wu, G.2
  • 34
    • 34548389025 scopus 로고    scopus 로고
    • Asymmetries in stock returns: statistical tests and economic evaluation
    • Hong Y., Tu J., Zhou G. Asymmetries in stock returns: statistical tests and economic evaluation. Rev Finan Stud 2007, 20:1547-1581.
    • (2007) Rev Finan Stud , vol.20 , pp. 1547-1581
    • Hong, Y.1    Tu, J.2    Zhou, G.3
  • 36
    • 36549042868 scopus 로고    scopus 로고
    • Herding behavior in Chinese stock markets: an examination of A and B shares
    • Tan L., Chiang T.C., Mason J.R., Nelling E. Herding behavior in Chinese stock markets: an examination of A and B shares. Pacific-Basin Finance J 2008, 16:61-77.
    • (2008) Pacific-Basin Finance J , vol.16 , pp. 61-77
    • Tan, L.1    Chiang, T.C.2    Mason, J.R.3    Nelling, E.4
  • 37
    • 74349089976 scopus 로고    scopus 로고
    • Restricting speculation will not reduce oil prices
    • ;June 11 [cited 10.01.12]
    • Pirrong C. Restricting speculation will not reduce oil prices. The Wall Street Journal. ; 2008 June 11 [cited 10.01.12]. http://online.wsj.com/article/SB121573804530744613.html.
    • (2008) The Wall Street Journal
    • Pirrong, C.1
  • 38
    • 79953029886 scopus 로고    scopus 로고
    • Speculation and volatility spillover in the crude oil and agricultural commodity markets: a Bayesian analysis
    • Du X., Yu C.L., Hayes D.J. Speculation and volatility spillover in the crude oil and agricultural commodity markets: a Bayesian analysis. Energy Econ 2011, 33:497-503.
    • (2011) Energy Econ , vol.33 , pp. 497-503
    • Du, X.1    Yu, C.L.2    Hayes, D.J.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.