Speaker: Dr. Yue-Jun Zhang
School of Management and Economics, Beijing Institute of Technology
Center for Energy & Environmental Policy Research,
Beijing Institute of Technology
Date: Monday, 14th March 2011
Time: 3:00pm-4:30pm
Venue: ESI Conference Room
29 Heng Mui Keng Terrace
Block A #10-01
Singapore 119620
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Abstract
This talk will address the relationship between speculators’ positions and crude oil futures returns. The empirical research results indicate that, first, speculators are significant followers of crude oil price change, but not drivers. However, the instantaneous influence of their net long position change on crude oil price return proves statistically significant, which should be noted in short-term oil price forecasting. Second, the overall influence of speculators’ positions on oil price takes on evident linearity but weak nonlinearity. Third, the linear influence appears symmetric when crude oil price goes up and down, but nonlinear influence appears asymmetric; and neither of linear and nonlinear influence is symmetric when crude oil price experiences high and low volatility. Finally, the linear influence magnitude of speculators’ position change does not keep stable in different quantiles of oil returns; specifically, with the increase of quantiles, the influence takes on an inverted U shape.
About the speaker
Dr. Yue-Jun Zhang is an assistant Professor at School of Management and Economics, Beijing Institute of Technology (BIT), China; as well as a researcher at Center for Energy & Environmental Research, BIT (CEEP-BIT). He received a Ph.D. degree of Management Science and Engineering from Chinese Academy of Sciences. His research interests focus on the energy modeling and policy analysis relating to energy market, energy supply/demand, carbon trading scheme and CO2 emissions, and he has published some academic papers on internationally peered-review journals, such as Energy Economics, Energy Policy, Journal of Policy Modeling, Resources Policy, Applied Energy, Quantitative Finance etc. He is presiding over several projects including those granted by NSFC and Ministry of Education of China. Now he is a visiting scholar at Energy Studies Institute (ESI), National University of Singapore.
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