能源经济学研讨会 时间：11月14日，星期三， 11:30—13:30 地点：明德主楼734 题目：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. 作者简介： 张跃军，北京理工大学管理与经济学院副教授，硕士生导师。2009年毕业于中国科学院科技政策与管理科学研究所（管理科学与工程专业），获管理学博士学位。兼任国际能源经济学会（IAEE）会员，国际能源经济学会中国委员会常务理事，中国“双法”研究会能源经济与管理研究分会常务理事等。新加坡国立大学能源研究所（ESI）访问学者。东亚东盟经济研究中心（ERIA）项目组成员。研究领域包括能源经济复杂系统建模、石油金融、碳金融等。目前已主持国家自然科学基金2项（面上和青年）、高等学校博士学科点专项科研基金1项、教育部人文社会科学研究基金1项等多项科研任务；并作为子课题负责人参与承担国家973课题、国家科技支撑计划项目、国家自然基金委重大国际合作项目和重点项目等重要科研项目。目前已在国内外发表重要学术论文近40篇，其中SCI/SSCI检索国际期刊论文13篇；参与完成专著9部（其中主编2部）；参与撰写多份政策咨询报告，部分报告得到国家领导人重视。 中国人民大学 经济学院能源经济系
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