Troug, Haytem Ahmed and Sbia, Rashid (2015): Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach.
Preview |
PDF
MPRA_paper_64933.pdf Download (699kB) | Preview |
Abstract
This paper aims at providing empirical support to claims made by officials in oil-producing countries that investors in the New York stock Exchange market are involved in the disruption of oil production in some OPEC countries. The claims state that some investors in the NYSE are financing militias in those countries to close down oilfields and ports, and buy oil before this incident occurs. By doing so, they have access to information that no one else in the market has, and make profits from this information. Using a VAR model approach to detect this phenomenon, and being inspired by the asymmetric information theory, we fail to support those claims. We tried to put this theory under investigation by running test on three oil disruption incidents that occurred in 2013, and all of the results turned out to be insignificant. Nevertheless, this approach was able to detect a period which might involve asymmetric information in the NYSE. In addition, using a VAR model enabled us to measure the duration and magnitude of the effect of a shock in volumes of trade on oil prices in that market.
Item Type: | MPRA Paper |
---|---|
Original Title: | Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach |
Language: | English |
Keywords: | stock Exchange market,OPEC countries, NYSE, Asymmetric Information, Oil Market |
Subjects: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics G - Financial Economics > G0 - General > G02 - Behavioral Finance: Underlying Principles G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading |
Item ID: | 64933 |
Depositing User: | rashid sbia |
Date Deposited: | 10 Jun 2015 10:30 |
Last Modified: | 28 Sep 2019 18:03 |
References: | Chow, G. (1960). Tests of Equality between Sets of Coefficients in Two Linear Regressions. Econometrica, 28 (3), 591-605. Copeland, T. 1976. A model of asset trading under the assumption of sequential information arrival. Journal of Finance, 31(4):1149–1168. Davidson, J., 2000. Econometric Theory 1st ed., United Kingdom: Blackwell Publishing Limited. Enders, W. (2010) Applied Econometric Time Series. 3rd edn. United Kingdom: Wiley, John & Sons, Incorporated. Karpoff, J. 1987. The relation between price changes and trading volume: a survey. Journal of Financial and Quantitative Analysis, 22(1):109–126. Karpoff, J. 1988. Costly short sales and the correlation of returns with volume. Journal of Financial Research, 11(3):173–188. Lamoureux, C., & Lastrapes, W. (1990). Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects. The Journal of Finance, 221-229. Morse, D.,1980. Asymmetrical information in securities markets and trading volume. Journal of Financial and Quantitative Analysis, 15(5):1129–1148. Osborne, M. 1959. Brownian motion in the stock market. Operations Research, 7(2):145–173. OPEC 2011. Monthly Oil Report, June . Rashes. M. 2001. Massively confused investors making conspicuously ignorant choices (MCIMCIC). Journal of Finance, 56(5):1911–1927. Walter Sun. 2001. Relationship between Trading Volume and Security Prices and Returns, MIT Laboratory for Information and Decision Systems Technical Report P-2638 Ying, C. , 1966. Market prices and volumes of sales. Econometrica, 34(3):676–685. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/64933 |