Investor sentiment spillover effect and market quality in crude oil futures

Yu-Lun Chen, Wan-Shin Mo and Ya-Kai Chang

International Review of Economics & Finance, 2022, vol. 82, issue C, 177-193

Abstract: This study examines the influence of investor sentiment on trading behavior in crude oil futures. We find that money manager traders (i.e., hedge funds) adopt positive feedback trading strategies in normal periods and turn to negative feedback trading in pessimistic periods. Meanwhile, swap dealers adopt negative feedback trading in normal periods and reduce the intensity of their negative feedback trading during pessimistic periods. We also find that the sentiment-driven trading of money manager traders and swap dealers does not hurt the quality of the crude oil futures market in either pessimistic or optimistic periods. In contrast, producers' (hedgers’) positions increase volatility and pricing errors in the crude oil futures market.

Keywords: Crude oil futures; Hedge funds; Pricing error; SWAP dealer (search for similar items in EconPapers)
JEL-codes: C22 E44 G18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056022001733
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:82:y:2022:i:c:p:177-193

DOI: 10.1016/j.iref.2022.06.013

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().