ByapplyingtwononlinearGrangercausalitytestingmethodsandrollingwindowstrat-egytoexploretherelationshipbetweenspeculativeactivitiesandcrudeoilprices,theunidirectionalGrangercausalityfromspeculativeactivitiestoreturnsofcrudeoilpricesduringthehighpricephaseisdiscovered.ItisprovedthatspeculativeactivitiesdidcontributetohighcrudeoilpricesaftertheAsianfinancialcrisisandOPEC'soutputcutin1998.TheunidirectionalGrangercausalityfromreturnsofcrudeoilpricestospeculativeactivitiesissignificantingeneral.Butafter2000,withthesharpriseincrudeoilprices,thisunidirectionalGrangercausalitybecameacomplexnonlinearrelationship,whichcannotbedetectedbyanylinearGrangercausalitytest.
