- Tytuł:
- Crude Oil Price and Speculative Activity: A Cointegration Analysis
- Autorzy:
-
Socha, Robert
Wdowiński, Piotr - Powiązania:
- https://bibliotekanauki.pl/articles/2076245.pdf
- Data publikacji:
- 2018
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
crude oil price
speculation
futures
cointegration
vector error correction model - Opis:
- The aim of the study is to discuss the relationship of the crude oil price, speculative activity and fundamental factors. An empirical study was conducted with a VEC model. Two cointegrating vectors were identified. The first vector represents the speculative activity. We argue that the number of short noncommercial positions increases with the crude oil stock and price, decreases with the higher number of long non-commercial positions. A positive trend of crude oil prices may be a signal for traders outside the industry to invest in the oil market, especially as access to information could be limited for them. The second vector represents the crude oil price under the fundamental approach. The results support the hypothesis that the crude oil price is dependent on futures trading. The higher is a number of commercial long positions, the greater is the pressure on crude oil price to increase.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2018, 3; 263-304
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł