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Fundamentals, Speculation, and the Pricing of Crude Oil Futures

Title: Fundamentals, Speculation, and the Pricing of Crude Oil Futures

Master's Thesis , 2011 , 82 Pages , Grade: 8,0

Autor:in: Thomas Hoehl (Author)

Economics - Finance
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Summary Excerpt Details

This study finds that while a large part of the variation in crude oil futures prices is driven by fundamental factors, financial investment and speculation has the potential to aggravate reactions to changing fundamental variables and furthermore move prices on its own. The evidence is gathered by performing linear regressions and Granger Causality tests on futures returns, position data of different categories of futures traders on the New York Mercantile Exchange and proxies for relevant fundamental factors such as equity and exchange rate returns gathered from August 2006 to December 2010. While higher prices for crude oil naturally come along with increasing physical demand and finite world supply, future regulation might temper market volatility and guarantee that prices reflect a sustainable physical market equilibrium. The study also gives an overview of commodity market regulation and position limits on futures markets.

Excerpt


Inhaltsverzeichnis (Table of Contents)

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Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

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Zusammenfassung der Kapitel (Chapter Summaries)

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Schlüsselwörter (Keywords)

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Details

Title
Fundamentals, Speculation, and the Pricing of Crude Oil Futures
College
Maastricht University  (School of Business and Economics)
Grade
8,0
Author
Thomas Hoehl (Author)
Publication Year
2011
Pages
82
Catalog Number
V181576
ISBN (eBook)
9783656047674
ISBN (Book)
9783656047711
Language
English
Tags
Crude Oil Futures Speculation Oil Oil Price Oil Speculation Dodd-Frank NYMEX WTI Peak Oil Index Speculation Commodity Swaps CFTC Commodity Derivatives USO Commodity ETF Oil ETF Futures Position Data CFTC Position Data CIT Report COT Reports Commodity Funds Position Limits Ölpreisspekulation Ölpreis Rohöl Index Replication Rohstoffspekulation Rohstoff Spekulation Commodity Exchange Act GSCI ETC CFTC Data CIT Reports Commitment of Traders
Product Safety
GRIN Publishing GmbH
Quote paper
Thomas Hoehl (Author), 2011, Fundamentals, Speculation, and the Pricing of Crude Oil Futures, Munich, GRIN Verlag, https://www.grin.com/document/181576
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