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主题报告三

发表于:2016年06月13日 分类:大宗商品市场:世界与中国

报告题目:The Impact of Crude Oil Inventory Announcements on Prices: Evidence from Derivatives Market

报告人:苗宏

报告时间:2016.6.20 上午10:00-10:30 

报告地点之远楼11楼国际会议厅

报告人简介

    苗宏,加拿大卡尔加里大学金融学和统计学双博士,美国德拉帕罗拉资本管理公司主要负责人、首席风险官,科罗拉多州立大学副教授,CFA协会会员。 苗宏教授研究领域主要为数量金融、衍生产品、能源金融等,并已在Quantitative Finance,Journal of Financial Econometrics,Stochastic Analysis and Applications,Journal of Banking and Finance和Journal of Futures Markets等国际知名期刊发表多篇论文。

报告摘要

    This study examines the impact of weekly oil storage information on changes in crude oil futures and options prices. Changes in oil inventory levels are widely followed by market participants as they are perceived to contain information about commodity demand and supply conditions. Several important new findings are reported in this study to demonstrate their informational role to the market. First, there is a strong announcement day impact on both futures and options prices. Inventory surprises are negatively related with announcement day returns on the futures market, and furthermore, the price response to negative inventory shocks are larger in magnitude than positive inventory surprises. In the case of options, positive inventory surprises are associated with negative (positive) returns on call (put) options. Second, an examination of the preannouncement return patterns suggest that both futures and options prices seem to anticipate to some extent changes in inventory levels. Third, the price response tends to weaken with the increase in contract maturities in the futures market, and short-term options also display greater price sensitivity than longer-term options. Finally, the allowance for the release of macroeconomic news does not substantially affect the usefulness of industry-specific information based on oil storage information.

固定链接: http://elab.dufe.edu.cn/archives/2135 | 实验经济学实验室
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