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Noncommercial Trading in the Energy Futures Market

Author

Listed:
  • Dale, Charles
  • Zyren, John

Abstract

This paper utilizes a new approach to an examination of price impacts of speculators on futures markets. It focuses initially on specially obtained data on commodity “pools,” which are large funds of money that may move quickly between and across futures markets and other financial markets; it then broadens the scope to include large noncommercial traders in general. This research also differs from previous work in its comparison and analysis of the holdings of large commercial and noncommercial traders, and demonstrates that changes in noncommercial positions in energy futures markets are closely related to price changes in those markets. The paper concludes that noncommercial traders are likely to switch between markets and add to “hot money” flows, and that noncommercial traders follow price trends in energy markets rather than set them.

Suggested Citation

  • Dale, Charles & Zyren, John, 1996. "Noncommercial Trading in the Energy Futures Market," MPRA Paper 47463, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:47463
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    File URL: https://mpra.ub.uni-muenchen.de/47463/1/MPRA_paper_47463.pdf
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    References listed on IDEAS

    as
    1. Scott H. Irwin & B. Wade Brorsen, 1985. "Public futures funds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(3), pages 463-485, September.
    2. Vignola, Anthony & Dale, Charles, 1980. "The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications," MPRA Paper 48812, University Library of Munich, Germany.
    3. Edwards, F.R. & Ma, C., 1988. "Commodity Pool Performance:Is The Information Contained In Pool Prospectuses Useful?," Papers csfm-166, Columbia - Center for Futures Markets.
    4. Dale, Charles, 1991. "Economics of Energy Futures Markets," MPRA Paper 47447, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Jerry W. Markham & Daniel J. Harty, 2012. "The Impact of Electronic Communication Networks on Exchange Trading Floors and Derivatives Regulation," Chapters, in: Geoffrey Poitras (ed.), Handbook of Research on Stock Market Globalization, chapter 12, Edward Elgar Publishing.
    2. Robert Weiner, 2006. "Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market," RFF Working Paper Series dp-06-31, Resources for the Future.
    3. Zhang, Yue-Jun, 2013. "Speculative trading and WTI crude oil futures price movement: An empirical analysis," Applied Energy, Elsevier, vol. 107(C), pages 394-402.
    4. Patricio Jaramillo & Jorge Selaive, 2006. "Speculative Activity and Copper Price," Working Papers Central Bank of Chile 384, Central Bank of Chile.
    5. Mingue SUn, 2010. "A Branch-and-Bound Algorithm for Representative Integer Efficient Solutions in Multiple Objective Network Programming Problems," Working Papers 0007, College of Business, University of Texas at San Antonio.
    6. Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2007. "Smart Money? The Forecasting Ability of CFTC Large Traders," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37556, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    7. Weiner, Robert J., 2000. "Sheep in Wolves' Clothing?," Cahiers de recherche 0001, GREEN.
    8. Yiuman Tse & Michael Williams, 2011. "Does Index Speculation Impact Commodity Prices? An Intraday Futures Analysis Using intraday data, we find that unidirectional causality runs from commodity index linked commodity futures to non-index ," Working Papers 0007, College of Business, University of Texas at San Antonio.
    9. Weiner, Robert J., 2002. "Sheep in wolves' clothing? Speculators and price volatility in petroleum futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(2), pages 391-400.
    10. Geoffrey Poitras (ed.), 2012. "Handbook of Research on Stock Market Globalization," Books, Edward Elgar Publishing, number 13048.
    11. Yiuman Tse & Michael R. Williams, 2013. "Does Index Speculation Impact Commodity Prices? An Intraday Analysis," The Financial Review, Eastern Finance Association, vol. 48(3), pages 365-383, August.
    12. Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2009. "Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 34(2), pages 1-21, August.

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    More about this item

    Keywords

    Futures markets; Energy futures; Speculation;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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