Has There Been Excessive Speculation in the US Oil Futures Markets?

Because many facets of the global oil markets have not been sufficiently transparent, it is unclear how much of the oil-price rally that peaked in July 2008 can be put down to speculation.

Author(s):

Hilary Till,

Research Associate, EDHEC-Risk Institute,Principal, Premia Capital Management, LLC.

This uncertainty has led to concerns that there was actually excessive speculation in the oil derivatives markets. In an effort to make the oil markets more transparent, the U.S. Commodity Futures Trading Commission has recently launched the Disaggregated Commitments of Traders report. This report includes three years of enhanced market-participant data for twenty-two commodity futures contracts. This report makes it possible to examine whether, over the last three years, speculative position-taking in the exchange-traded oil derivatives markets has been excessive relative to commercial hedging needs. We use a traditional metric for evaluating speculative position-taking and find that this position-taking does not appear to be excessive over the past three years when compared to the scale of commercial hedging at the time.
Pdf
Has There Been Excessive Speculation in the US Oil Futures Markets?...
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Type: Position paper
Date: le 18/11/2009
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

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