Informed Trading in Oil-Futures Market

Olivier Rousse (1) , Benoît Sévi (2)

1 GAEL - Laboratoire d'Economie Appliquée de Grenoble
2 LEMNA - Laboratoire d'économie et de management de Nantes Atlantique

The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than economists’ forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level. We also show a clear drop in the average price of -0.25% ahead of the news release. This finding is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to the news, and highlight an over-reaction that is partly compensated in the hours following the announcement.

Mots clés: intraday data; inventory release; insider trading; WTI crude oil futures

Domaines: Economies et finances; Finance [q-fin.GN]; Microstructure des marchés [q-fin.TR]

Olivier Rousse, Benoît Sévi. Informed Trading in Oil-Futures Market. 2017. ⟨hal-01410093v1⟩