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Mood-misattribution effect on energy markets: a biorhythm approach

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  • Marc Joëts

Abstract

This 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".

Suggested Citation

  • Marc Joëts, 2012. "Mood-misattribution effect on energy markets: a biorhythm approach," EconomiX Working Papers 2012-24, University of Paris Nanterre, EconomiX.
  • Handle: RePEc:drm:wpaper:2012-24
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    References listed on IDEAS

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    Cited by:

    1. Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.

    More about this item

    Keywords

    energy forward markets; mood-misattribution; behavioral finance; extreme price movements; quantile regression.;

    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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