Sentiment in oil markets

Peter Deeney, Mark Cummins, Michael Dowling and Adam Bermingham

International Review of Financial Analysis, 2015, vol. 39, issue C, 179-185

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.

Keywords: Market sentiment; Crude oil; Energy; Multiple hypothesis testing (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 Q43 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (50)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:39:y:2015:i:c:p:179-185

DOI: 10.1016/j.irfa.2015.01.005

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