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The Impact of Speculators' Activity on Crude Oil Futures Prices

Using a VECM model, findings indicate significant short-run causality running from speculators' trading activity to futures prices. However, the magnitude of this effect was small. Long-run causality, on the other hand, runs from prices to speculators' activity and not vice versa, whenever spot prices, futures prices and speculators' net positions are cointegrated. Using conditional standard deviation as a proxy to volatility, findings support no significant relationship between large speculators trading activity and volatility in the U.S. Crude Oil futures market. Using conditional variance, however, supported a significant negative relationship between trading activity and volatility. Recursive estimates of standard deviation were more volatile than its variance counterpart, due to the higher sensitivity of standard deviation to futures prices.