The Impact Of Inventory Reports On Asymmetric Information Of Crude Oil Futures Market

Weekly inventory reports issued by US Energy Information Administration(EIA)can inform investors of the supply and demand situation of current crude-oil market.Based on the Asymmetric Information Model proposed by Tetlock(2010),this thesis examines the impact of the release of EIA inventory reports on the asymmetric information of crude oil futures market.The Asymmetric Information Model considers that public news can reduce information asymmetry.The release of public news can weaken the information advantage of informed traders and provide a fair competitive environment for investors which will increase their willingness to accommodate liquidity shocks.Empirically,we find that the release of EIA inventory reports can significantly reduce return reversal of crude oil futures.However,the announcement of inventory reports have insignificant impact on volume-induced return reversal of crude oil futures.We conjecture that certain inventory information may leak to the market before it becomes public which means that the information asymmetry among investors is not very large.After dividing inventory reports into positive ones and negative oness according to the predicted value of the market,we find that positive inventory reports with less information asymmetric themselves are enough for investors to absorb liquidity shocks,trading volume would play no role.On the contrary,when the negative inventory reports are released,investors need to further confirm information shock by trading volume.By using two major types of traders'positions of crude oil futures,we find that the changes of net positions of speculators and hedgers reflects the changes of inventories which suggests that information asymmetric among investors before positive inventory shocks is not very larger than negative ones.