Cavalcante, Mileno (2008): Preços do petróleo e bolhas especulativas: algumas evidências para o mercado de WTI. Published in: Rio Oil & Gas 2008 Conference Proceedings , Vol. 1, (September 2008)
Download (182kB) | Preview
The purpose of this work is to gather some evidence about the relationship between crude prices and speculation in oil futures and options markets focusing on WTI markets. In order to shed some light on this link, a brief characterization of what a speculative bubble is and how it works is given. It is also shown that the major reason behind the great inflow of capital into oil derivatives markets is that they became much more attractive to investors than other financial markets (i.e. stocks and bonds) between 2000 and 2007. The reasoning behind the speculative bubble argument is stated and a brief discussion about the strategies commercials and non-commercials adopted in WTI futures and options markets during 1995-2007 period is made. We confront this reasoning with the evidence from the non-commercial net positions and WTI prices from 2003 to 2007 and make some econometric tests for the hypotheses that changes in these positions affect prices and for the presence of a speculative bubble in WTI markets. Our analysis shows no clear linkage between oil prices and non-commercials net positions in the way the “bubble theory” argues and points to a possible problem of asymmetric information in the oil markets.
|Item Type:||MPRA Paper|
|Original Title:||Preços do petróleo e bolhas especulativas: algumas evidências para o mercado de WTI|
|English Title:||Crude oil prices and speculative bubbles: evidence from the WTI market|
|Keywords:||Bolhas especulativas; preços do petróleo; fundamentos de mercado; non-commercials; commercials|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q49 - Other
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Mileno T. Cavalcante|
|Date Deposited:||05. Feb 2011 14:29|
|Last Modified:||24. Sep 2015 22:14|
BLANCHARD, O. J., WATSON, M. W. Bubbles, rational expectations, and financial markets. NBER Working Paper, 945, july, 1982.
CANTERBERRY, E. R. Irrational exuberance and rational speculative bubbles. The Intern. Trade Journal, v. XIII, n. 1, p. 2-33, Spring 1999.
CASE, K. E. SHILLER, R. J. Is there a bubble in the housing market? Cowles Found. Paper, 1089. 2004.
COOK, S. Further analysis of spurious causality. Discussion paper. Dept. of Economics. Swansea Univ. may, 2005.
ENDERS, W. Applied econometric time series. 2nd Edition. John Wiley & Sons, 2004.
HAIGH, M. S., HRANAIOVA, J., OVERDAHL, J. A. Price dynamics, price discovery, and larger futures trader interactions in the energy complex, CFTC Working Paper. april, 2005.
INTERNATIONAL MONETARY FUND. Has speculation contributed to higher commodity prices? World Economic Outlook, IMF Staff, p. 153-156 e 164-168. sept., 2006.
KENNEDY, P. A guide to econometrics. 5nd Edition. The MIT Press, 2003.
LINTZ, A. C. Dinâmica de bolhas especulativas e finanças comportamentais: um estudo aplicado ao mercado brasileiro de câmbio. Tese de doutorado. FEA-USP, 2004.
MOGFORD, C. The information content of aggregate data on financial futures positions. Bank of England. Qurt. Bul., p. 57-65, Spring 2006.
OFEK, E., RICHARDSON, M. The valuation and market rationaliy of internet stock prices. Oxford Rev. of Econ. Policy, v. 18, n. 3, p 265-287, 2002.
SHILLER, R. J. Bubbles, human judgement, and expert opinion. Cowles Found. Paper, 1303, 2001.
SHILLER, R. J. Measuring bubble expectations and investor confidence. Cowles Found. Disc. Paper, 1212, 1999.
SHILLER, R. J. Irrational exuberance, 2nd Edition, Princeton University Press, 2005.