Sentiment in oil markets

Peter Deeney; Mark Cummins; Michael Dowling; Adam Bermingham

doi:10.1016/j.irfa.2015.01.005

Sentiment in oil markets

Peter Deeney^*, Mark Cummins, Michael Dowling, Adam Bermingham

^*Corresponding author for this work

Accounting And Finance

Research output: Contribution to journal › Article › peer-review

78 Citations (Scopus)

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.

Original language	English
Pages (from-to)	179-185
Number of pages	7
Journal	International Review of Financial Analysis
Volume	39
DOIs	https://doi.org/10.1016/j.irfa.2015.01.005
Publication status	Published - 1 May 2015

Funding

This material is based upon works supported by Dublin City University under the Daniel O'Hare Research Scholarship scheme awarded to Peter Deeney. Adam Bermingham of The Insight Centre for Data Analytics based in Dublin City University is supported by Science Foundation Ireland under Grant Number SFI/12/RC/2289 .

Keywords

crude oil
energy
market sentiment
multiple hypothesis testing
influence of sentiment

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10.1016/j.irfa.2015.01.005

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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.",

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AU - Cummins, Mark

AU - Dowling, Michael

AU - Bermingham, Adam

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N2 - 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.

AB - 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.

KW - crude oil

KW - energy

KW - market sentiment

KW - multiple hypothesis testing

KW - influence of sentiment

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VL - 39

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EP - 185

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

ER -

Sentiment in oil markets

Abstract

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Keywords

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