Speculative trading and WTI crude oil futures price movement: An empirical analysis

摘要

Based on the historical data of CFTC's Commitments of Traders (COT) reports from 2007 to 2010, this paper empirically studies the influence of speculators' positions on WTI crude oil futures returns. The results indicate that, first, the instantaneous feedback of speculators' position change on crude oil price return proves statistically significant and dominates the linear feedback relationship between them during the sample period although speculation does not appear a significant driver of crude oil price movement in the lead-and-lag sense. Second, the contemporaneous influence of speculators' positions on oil price takes evident linearity but weak nonlinearity. Third, when oil price has high (low) volatility, non-commercials' position change may exert a significant (insignificant) linear shock on oil price returns. And whether crude oil price stays in high or low volatility, the nonlinear influence does not appear significant. Finally, the linear influence appears symmetric when crude oil price goes up and down, but the nonlinear influence takes asymmetric feature; and neither of linear and nonlinear influence is symmetric when crude oil price experiences high and low volatility.