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Sentiment in oil markets

Author

Listed:
  • Deeney, Peter
  • Cummins, Mark
  • Dowling, Michael
  • Bermingham, Adam

Abstract

Sentiment is shown to influence both West Texas Intermediate (WTI) and Brent futures prices during the period 2002–2013. This is demonstrated while controlling for stock indices, exchange rates, financial costs, inventory and supply levels as well as OPEC activity. Sentiment indices are developed for WTI and Brent crude oils using a suite of financial proxies similar to those used in equity research where the influence of sentiment has already been established. Given the novel nature of this study, multiple hypothesis testing techniques are used to ensure that these conclusions are statistically robust.

Suggested Citation

  • Deeney, Peter & Cummins, Mark & Dowling, Michael & Bermingham, Adam, 2015. "Sentiment in oil markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 179-185.
    • Handle: RePEc:eee:finana:v:39:y:2015:i:c:p:179-185
    DOI: 10.1016/j.irfa.2015.01.005
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    More about this item

    Keywords

    Market sentiment; Crude oil; Energy; Multiple hypothesis testing;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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