The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis

Aktham Maghyereh, Basel Awartani and Hussein Abdoh

International Economics, 2020, vol. 162, issue C, 110-124

Abstract: In this paper, we use wavelet coherence analysis to find that sentiment has a significant effect on crude oil returns that lasts over various investment horizons. While oil returns are positively associated with the sentiments of optimism and trust, they are negatively linked to fear and anger. These relations are more pronounced over the medium and the long term. Additionally, we find that short-term oil returns are relatively more sentiment-sensitive during turbulent periods than in normal conditions. These results highlight the importance of sentiment and investor psychology in the crude oil market.

Keywords: Co-movement; Crude oil; Emotions sentiments; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: C58 G41 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:162:y:2020:i:c:p:110-124

DOI: 10.1016/j.inteco.2020.01.004

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