Mood-misattribution effect on energy markets: a biorhythm approach
AbstractThis paper investigates the relationship between emotion and European energy forward prices of oil, gas, coal and electricity during normal times and periods of extreme price movements relying on the biorhythm approach. To this end, we use the Seasonal Affective Disorder (SAD) variable to study the impact of emotion on energy market dynamics. Estimating OLS and quantile regressions, we find that seasonal patterns have a significant impact during extreme volatility periods only. Further investigations reveal that the SAD affect is significant during periods of price decrease, but insignificant during priceincrease. The out-of-sample predictive ability properties are also investigated and show that our "SAD model" outperforms significantly the pure "macroeconomic one".
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Bibliographic InfoPaper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2012-24.
Length: 21 pages
Date of creation: 2012
Date of revision:
energy forward markets; mood-misattribution; behavioral finance; extreme price movements; quantile regression.;
Find related papers by JEL classification:
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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