Cross-Market Investor Sentiment of Energy Futures and Return Comovements

Rongda Chen, Shengnan Wang, Mengya Ye, Chenglu Jin, He Ren and Shu Chen

Finance Research Letters, 2022, vol. 49, issue C

Abstract: Investor sentiment in the energy futures of a single market might not be able to capture cross-market effects well. This paper considers multiple energy futures markets (crude oil, gasoline, etc.) in constructing cross-market sentiment and returns to capture the sentiment characteristics and overall dynamics of the energy futures market. The results show that (i) cross-market investor sentiment and returns Granger-cause each other, (ii) cross-market investor sentiment has an important but asymmetric impact on the volatility of the energy futures market, and (iii) the asymmetric impact of cross-market investor sentiment on return volatility varies across segments of bear/bull energy markets.

Keywords: Energy futures market; Cross-market returns; Cross-market investor sentiment; Bull/bear market (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003567

DOI: 10.1016/j.frl.2022.103133

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