Sentiment in oil markets

Peter Deeney; Mark Cummins; Michael Dowling; Adam Bermingham

doi:10.1016/j.irfa.2015.01.005

Sentiment in oil markets

Peter Deeney
, Mark Cummins
, Michael Dowling
, Adam Bermingham

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	179-185
Number of pages	7
Journal	International Review of Financial Analysis
Volume	39
DOIs	https://doi.org/10.1016/j.irfa.2015.01.005
Publication status	Published - 1 May 2015
Externally published	Yes

Keywords

Crude oil
Energy
Market sentiment
Multiple hypothesis testing

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10.1016/j.irfa.2015.01.005

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title = "Sentiment in oil markets",

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.",

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author = "Peter Deeney and Mark Cummins and Michael Dowling and Adam Bermingham",

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AU - Cummins, Mark

AU - Dowling, Michael

AU - Bermingham, Adam

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N2 - 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.

AB - 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.

KW - Crude oil

KW - Energy

KW - Market sentiment

KW - Multiple hypothesis testing

UR - https://www.scopus.com/pages/publications/84939967791

U2 - 10.1016/j.irfa.2015.01.005

DO - 10.1016/j.irfa.2015.01.005

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SN - 1057-5219

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SP - 179

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JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

ER -

Sentiment in oil markets

Abstract

Keywords

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