Sentiment in Oil Markets

22 Pages Posted: 14 Sep 2013 Last revised: 2 Dec 2014

See all articles by Peter Deeney

Peter Deeney

Dublin City University Business School

Mark Cummins

Dublin City University Business School

Michael M. Dowling

ESC Rennes School of Business

Adam Bermingham

Dublin City University - The INSIGHT Centre for Data Analytics

Date Written: November 5, 2014

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.

Keywords: market sentiment, energy, multiple hypothesis testing

JEL Classification: C12, C22, C52, Q31, Q43

Suggested Citation

Deeney, Peter and Cummins, Mark and Dowling, Michael M. and Bermingham, Adam, Sentiment in Oil Markets (November 5, 2014). Available at SSRN: https://ssrn.com/abstract=2324741 or http://dx.doi.org/10.2139/ssrn.2324741

Peter Deeney (Contact Author)

Dublin City University Business School ( email )

Dublin 9
Ireland

Mark Cummins

Dublin City University Business School ( email )

Dublin 9
Ireland

Michael M. Dowling

ESC Rennes School of Business ( email )

Rue Robert d'arbrissel, 2
Rennes, 35000
France

Adam Bermingham

Dublin City University - The INSIGHT Centre for Data Analytics ( email )

School of Computing
Dublin City University
Dublin, Dublin Dublin 9
Ireland

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