Abstract

In this paper we take advantage of a unique micro-database on forward trading in the international petroleum market, with information on the buyer and seller in each transaction. We utilize transaction-specific data to test directly predictions from the theory of normal backwardation vs. information-based predictions of who profits in these markets. We find that no trader groups make significan profits on interday measures. Within the day, however, groups likely to have superior information do make significant profits. The results are not supportive of normal backwardation, but are consistent with the time pattern of information dissemination in this market--deals made during the day are widely reported only at day's end.

Comments

Revised June 1993

Keywords

Petroleum markets, Information

Tech Report Number

1993-101

Date of this Version

1993

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