【ECON2012017】
能源經濟學研討會

時間：11月14日，星期三， 11:30—13:30

地點：明德主樓734

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

文章摘要：

　　Based on the historical data of CFTC’s Commitments of Traders reports from 2007 to 2010, this paper empirically investigates 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. However, both in the up and down oil market, non-commercials’ position change has significant linear and nonlinear contemporaneous shock on oil price returns respectively. 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.

作者簡介：

張躍軍，北京理工大學管理與經濟學院副教授，碩士生導師。2009年畢業于中國科學院科技政策與管理科學研究所（管理科學與工程專業），獲管理學博士學位。兼任國際能源經濟學會（IAEE）會員，國際能源經濟學會中國委員會常務理事，中國“雙法”研究會能源經濟與管理研究分會常務理事等。新加坡國立大學能源研究所（ESI）訪問學者。東亞東盟經濟研究中心（ERIA）項目組成員。研究領域包括能源經濟復雜系統建模、石油金融、碳金融等。目前已主持國家自然科學基金2項（面上和青年）、高等學校博士學科點專項科研基金1項、教育部人文社會科學研究基金1項等多項科研任務；并作為子課題負責人參與承擔國家973課題、國家科技支撐計劃項目、國家自然基金委重大國際合作項目和重點項目等重要科研項目。目前已在國內外發表重要學術論文近40篇，其中SCI/SSCI檢索國際期刊論文13篇；參與完成專著9部（其中主編2部）；參與撰寫多份政策咨詢報告，部分報告得到國家領導人重視。

　中國人民大學 經濟學院能源經濟系