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Crude oil futures trading and uncertainty

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  • Czudaj, Robert L.
Abstract
This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques to decompose crude oil futures prices into different frequencies accounting for investors' sentiment at various horizons. To allow for different effects on the propagation mechanism of uncertainty shocks, we apply a time-varying Bayesian VAR approach. Our findings indicate that both measures of uncertainty affect momentum trading on the crude oil futures market in several periods, especially during the great recession between 2007 and 2009. For the decomposed futures prices our results also show that the reaction to uncertainty differs substantially across frequencies. High frequencies exhibit a very short-lived reaction to uncertainty while low frequencies show a persistent reaction to uncertainty shocks.

Suggested Citation

  • Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
    • Handle: RePEc:eee:eneeco:v:80:y:2019:i:c:p:793-811
    DOI: 10.1016/j.eneco.2019.01.002
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    More about this item

    Keywords

    Crude oil futures; Technical analysis; Time-varying Bayesian VAR; Uncertainty; Wavelets;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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