¡¾ÄÚÈݼò½é¡¿Based on the historical data of CFTC¡¯s Commitments of Traders reports from2007 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 pricereturn proves statistically significant and dominates the linear feedback relationshipbetween them during the sample period although speculation does not appear asignificant driver of crude oil price movement in the lead-and-lag sense.Second, the contemporaneous influence of speculators¡¯ positions on oil pricetakes evident linearity but weak nonlinearity. However, both in the up and downoil market, non-commercials¡¯ position change has significant linear and nonlinearcontemporaneous shock on oil price returns respectively. Third, when oil pricehas high (low) volatility, non-commercials¡¯ position change may exert asignificant (insignificant) linear shock on oil price returns. And whethercrude oil price stays in high or low volatility, the nonlinear influence doesnot appear significant. Finally, the linear influence appears symmetric whencrude 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 priceexperiences high and low volatility.

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