نوسان های قیمت و بورس بازان در بازار معاملات سلف نفت خام

This paper examines the behaviour of crude oil futures price and volatility, analyzes the relationship between speculative traders’ positions and returns, and investigates whether speculative traders’ position changes have a significant effect on crude oil price. It also studies how speculation factor influence crude oil returns and volatility, whether returns are related to risks, and whether financial crises increase volatility in crude oil futures markets. The empirical results from Granger causality reveal that return lead speculative position, which indicates that non-commercial or managed money traders are a class of positive feedback traders or trend followers; and also reveal that the position changes held by speculative traders will cause crude oil price movement. Based on the estimation results of GARCH(1,1) model we verify position changes of non-commercial or managed money traders can impact crude oil futures returns significantly, and indicate returns are not related to conditional variance. Moreover, during the financial crisis, crude oil futures return shows an extreme large volatility. These findings can help us better understand price discovery process in crude oil futures market, and is useful in risk management and financial engineering.

Price dynamic and volatility has some inherent characteristics that are commonly seen in assets returns. Understanding the behaviour of volatility is important, because it is useful in derivatives valuation, hedging decisions, and decisions to invest in physical capital tied to production or consumption. Furthermore, volatility is important in risk management. Volatility modelling provides a simple approach to calculating value at risk of a financial position. Finally, modelling volatility of a time series can improve the efficiency of parameter estimation and the accuracy of interval forecasts (Tsay, 2002) [18]. Thus, this study can illustrate the price discovery process in crude oil futures market, and is helpful for risk management and financial engineering. This paper discusses whether there are some other new factors that influence price volatility, in addition to market fundamentals, as stated by theories of storable commodities’ prices, when the importance of commodities as common investment alternatives to traditional markets has increased. Using WTI crude oil futures prices as the study object, this paper concentrates on investigating whether trading activities of speculative traders have a significant effect on crude oil price and its volatility. We also reveal the characters of trading activities of speculative traders, and study how this factor influences crude oil futures returns and volatility. From the empirical results, we find that there exists a unidirectional Granger causality from returns to percent net long positions held by speculative traders, which indicates non-commercial traders or managed money are a class of positive feedback traders or trend followers. Because a bi-directional instantaneous Granger causality exists between returns of crude oil and percent net long positions, the changes of position held by speculative funds will cause the price movement. Therefore, when we modelling the price dynamics of crude oil futures price in short run, we can identify changes of speculative positions as a determinant factor into the model. Based on the statistics of return series, we set up the GARCH (1, 1) model that allows exogenous variables to affect the conditional mean with Student-t distribution innovation. From the estimation results, we verify position changes of noncommercial or managed money traders can impact crude oil futures returns significantly. When speculative traders increase the percent net long position, the price will rise; otherwise, crude oil will fall. We also find that the conditional variance is not a determinant of crude oil futures weekly return. This indicates that rational traders who make investment decision by compare the return and risk is not enough in crude oil futures market, most of the traders are speculative traders, who are positive feedback traders or trend followers. Because speculative traders are trend followers, if the return of crude oil futures is good, the speculator is willing to increase their net long positions, and this trading activity can push up the crude oil futures price higher. Then, we can see the crude oil futures price become higher and higher. Speculation contributes very much to this price movement. During the period the financial crisis, there is an extreme large conditional variance. Observing the data carefully, we find out that during this period, the percent net long of managed money (MPNL) fluctuate largely, even from the net long position to net short position. This make crude oil futures price drop quickly, which follows by a large volatility clustering. These results have profound implications for crude oil futures market supervision and risk management. First, regulatory authority and investors, especially hedgers, should pay close attention to trading activities of speculative traders. They are indeed an important determinant of crude oil futures price level. By changing positions, non-commercial traders or managed money traders can push up and down crude oil futures price. Second, if regulatory authority can provide more detailed data about different kinds of traders to the public, analysts and researchers can better understand the relationship between speculative activities and crude oil price, and thereby can give more accurate forecast of crude oil price.