Understanding Intraday Oil Price Dynamics during the COVID-19 Pandemic: New Evidence from Oil and Stock Investor Sentiments

Mohamed Arbi Madani and Zied Ftiti

The Energy Journal, 2024, vol. 45, issue 3, 57-86

Abstract: This study employed intraday stock market and oil investor sentiment data related to news and social media (i.e., the Thomson Reuters MarketPsych Indices [TRMI] sentiment index) to gauge investors’ interest in the West Texas Intermediate (WTI) crude oil futures market during the recent health crisis. We proposed an original nonlinear empirical framework by considering oil price dynamics’ complexity and its potential interaction with investor sentiment. The analysis revealed three noteworthy findings. First, we observed evidence of nonlinearity in the relationship between excess returns on WTI crude oil futures and investor sentiment data. Second, the causality direction moved only from oil and stock market investor sentiment to oil returns. Third, the impacts of oil and stock market sentiment data on crude oil returns (i.e., volatility) were always negative. Furthermore, sentiment data related to social media showed a more pronounced cross-correlation than that of news.

Keywords: Social media; News; Nonlinear; Long memory; Causality; HAR model; Forecast (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:45:y:2024:i:3:p:57-86

DOI: 10.5547/01956574.45.3.mmad

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