Do Speculators Drive Crude Oil Futures Prices?

Oil market modelling: A comparative analysis of fundamental and latent factor approaches

“…In some studies, speculation is shown to have a statistically significant effect on price and volatility in oil markets, particularly in the lead up to the historically high oil prices achieved pre-crisis (Sornette et al, 2009, Kaufmann and Ullman, 2009, Cifarelli and Paladino, 2010, Du et al, 2011. In contrast, Büyüksahin and Harris (2011) find no evidence that non-commercial positions, including hedge fund positions, have a causal effect on oil prices. Sanders et al (2010), Irwin and Sanders (2012), Irwin (2013) similarly find no evidence for the influence of speculation across commodity markets, which is corroborated by the surveyed evidence reported by Irwin and Sanders (2011).…”

Are there really bubbles in oil prices?

“…11 The rolling estimation of the parameter w 1 (i;T i ) does not assume any parameter stability. This approach, given the optimal observation window, tracks the changes in w 1 (i;T i ).…”

“…Second, others show that there is no (causal) relationship between the futures and spot markets. For example, Buyuksahin and 4 Harris [11] employ Granger Causality tests to analyze lead and lag relations between price and hedge funds and other non-commercial (speculator) position data at daily and multiple day intervals. They find little evidence that the position changes Granger-cause price changes; instead, the results suggest that price changes precede their position changes.…”

“…8 Third, there are some studies which examined the impact of financialization On the other hand, there are also studies which argue that the financialization of the commodity markets led to bubbles in prices. For example, 7 Buyuksahin and Harris [11] also calculate Working's [19] The aim of this study is to identify bubbles and crashes in crude oil prices since 1986. For this purpose, we use the exponential fitting methodology, proposed by Watanabe et al [28,29].…”

Commodity Returns and Their Volatility in Relation to Speculation: A Consistent Empirical Approach

“…GC tests rejected the null hypothesis (no impact) in 3 of the 12 markets and showed negative and very small coefficients. Büyükşahin and Harris [2011] addressed the question of whether noncommercial trading positions Granger cause crude oil futures price changes in the 2000-2008 period; the tests do not reveal such a relationship. It is apparent from this short overview that observation periods, frequencies, research objectives, and speculation measures are fairly different across the studies.…”