Do net positions in the futures market cause spot prices of crude oil? |
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| Institution: | 1. School of International Business Administration, Shanghai University of Finance and Economics, 777 Guoding Road, Shanghai, China;2. Department of Economics, Kangwon National University, 1 Kangwondaehak-gil, Chuncheon-si, Gangwon-do 200-701, Republic of Korea;3. School of Economics, Chung-Ang University, 84 Heukseok-Ro, Dongjak-Gu, Seoul, Republic of Korea;1. University of Warsaw, Faculty of Economic Sciences, Poland; University of Illinois, Urbana, IL 61801-3671, United States;2. University of Illinois, Regional Economics Applications Laboratory, Urbana, IL 61801-3671, United States;1. Graduate School of Management, Kagawa University, Saiwai-cho 2-1, Takamatsu, Kagawa 760-8523, Japan;2. Graduate School of Information Sciences, Tohoku University, Aoba 6-3-09, Aramaki, Aoba-ku, Sendai, Miyagi 980-8579, Japan;1. Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China;2. Center for Energy and Environmental Policy research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;3. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China;4. School of Economics & Management, Beihang University, Beijing 100191, China;1. Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia;2. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;3. Lebow College of Business, Drexel University, Philadelphia, United States;4. Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France;1. University of Milan–Bicocca, Fondazione Eni Enrico Mattei, Milan, Italy;2. University of Pavia, Pavia, Fondazione Eni Enrico Mattei, Milan, Italy;3. Fondazione Eni Enrico Mattei, Milan, Italy |
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| Abstract: | The last decade has witnessed sharp increases in the price of crude oil. There are two possible explanations for these increases: dramatic increases in financial firms' position in the oil futures market and recent increases in oil prices from changes in economic fundamentals. This paper examines the causal relationship between the net financial position and the crude oil price by using three types of Granger non-causality tests: the classical Granger non-causality test, a robust Granger non-causality test and a Granger non-causality test in quantiles. The empirical results provide some evidence of causality from the net financial position to the spot price of crude oil. In addition, futures prices serve as a transmission mechanism underlying the causal relationship between the net financial position and the crude oil price. |
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