Crude Oil Price and Speculative Activity:A Cointegration Analysis

摘要

The aim of the study is to discuss the relationship of the crude oil price,speculative activity and fundamental factors. An empirical study was conductedwith a VEC model. Two cointegrating vectors were identified. The first vectorrepresents the speculative activity. We argue that the number of short noncommercial positions increases with the crude oil stock and price, decreaseswith the higher number of long non-commercial positions. A positive trend ofcrude oil prices may be a signal for traders outside the industry to invest in theoil market, especially as access to information could be limited for them. Thesecond vector represents the crude oil price under the fundamental approach.The results support the hypothesis that the crude oil price is dependent onfutures trading. The higher is a number of commercial long positions, the greateris the pressure on crude oil price to increase.