Sentiment in oil markets

Deeney, Peter; Cummins, Mark; Dowling, Michael; Bermingham, Adam

doi:10.1016/j.irfa.2015.01.005

Cited by 86 publications

(43 citation statements)

References 57 publications

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“…Towards answering this question, we uniquely develop an emissions market sentiment index following a similar index constructed for the oil markets in Deeney et al (2015). For our purposes, we use nancial proxy information relating to the emissions markets and wider energy markets, and wider nancial markets.…”

Section: Measurement Of Market Sentimentmentioning

confidence: 99%

“…A daily market sentiment index is constructed for the emissions market using principal component analysis (PCA) of appropriately chosen nancial proxies, in line with Baker and Wurgler (2006), Lemmon and Portniaguina (2006), and Deeney et al (2015 and VFTSE did not change the designation of high and low sentiment.…”

Section: Measurement Of Market Sentimentmentioning

confidence: 99%

“…In particular we develop innovative measures of market sentiment and market attention, which are known in other markets to in uence reaction to new information. An emissions market sentiment index is constructed by adapting the principal component analysis approach of Baker and Wurgler (2006) in equity markets, and particularly based on the oil sentiment index proposed in Deeney et al (2015). The components of this index draw on volatility and speculative measures from the EUA market, while also drawing pertinent information from the wider energy markets, and wider nancial markets.…”

mentioning

confidence: 99%

“…Baker and Wurgler, 2006;Schmeling, 2009) and more recently in the energy and commodity markets (Deeney et al, 2015;Sliverio and Szklo, 2012). Sentiment has been found to be particularly e ective at predicting the prices of stocks with greater inherent uncertainty; these have been characterized by Baker and Wurgler (2006) as being young, small, unpro table, non-dividend-paying, with high volatility, capable of extreme growth or becoming distressed.…”

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confidence: 99%

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Influences from the European Parliament on EU emissions prices

et al. 2016

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The decisions of the European Parliament (EP) are shown to in uence both EU emission allowance (EUA) prices and volatility. Reductions in price and increases in volatility are observed when EP decisions are (i) not partypolitical in origin, (ii) made during times of low market sentiment, or (iii) made during times of low market attention. Daily EUA prices from 2007 to 2014 are used in the study, with decisions analysed using an event study approach for price impact, and a GARCH speci cation for volatility impact.Our ndings suggest the need for policymakers to improve communication of long-term strategies for the EUA market. This aims to reduce the evident ongoing uncertainty experienced by traders around each decision made by the EP. The nding that sentiment and market attention at the time of an EP decision in uences the market's reaction indicates a need to consider market dynamics in terms of decision timing, so that market turbulence is not an unintended by-product of an EP decision. Indeed some form of medium term forward guidance may be called for.JEL: Q58, G14, C12

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Section: Measurement Of Market Sentimentmentioning

confidence: 99%

Section: Measurement Of Market Sentimentmentioning

confidence: 99%

mentioning

confidence: 99%

mentioning

confidence: 99%

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Influences from the European Parliament on EU emissions prices

et al. 2016

Self Cite

View full text Add to dashboard Cite

show abstract

“…In particular we develop innovative measures of market sentiment and market attention, which are known in other markets to inuence reaction to new information. An emissions market sentiment index is constructed by adapting the principal component analysis approach of Baker and Wurgler (2006) in equity markets, and particularly based on the oil sentiment index proposed in Deeney et al (2015). The components of this index draw on volatility and speculative measures from the EUA market, while also drawing pertinent information from the wider energy markets, and wider nancial markets.…”

mentioning

confidence: 99%

Influences from the European Parliament on EU Emissions Prices

et al. 2015

Self Cite

View full text Add to dashboard Cite

The decisions of the European Parliament (EP) are shown to inuence both EU emission allowance (EUA) prices and volatility. Reductions in price and increases in volatility are observed when EP decisions are (i) not partypolitical in origin, (ii) made during times of low market sentiment, or (iii) made during times of low market attention. Daily EUA prices from 2007 to 2014 are used in the study, with decisions analysed using an event study approach for price impact, and a GARCH specication for volatility impact.Our ndings suggest the need for policymakers to improve communication of long-term strategies for the EUA market. This aims to reduce the evident ongoing uncertainty experienced by traders around each decision made by the EP. The nding that sentiment and market attention at the time of an EP decision inuences the market's reaction indicates a need to consider market dynamics in terms of decision timing, so that market turbulence is not an unintended by-product of an EP decision. Indeed some form of medium term forward guidance may be called for.JEL: Q58, G14, C12

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Predicting stock market volatility based on textual sentiment: A nonlinear analysis

Zhang

Gong

Wang

et al. 2021

Journal of Forecasting

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This paper investigates whether and how investor sentiment affects stock market volatility forecasting from a nonlinear theory perspective. With the use of a novel dataset that contains massive articles about stock market analysis obtained from a Chinese investors' community, we construct four sentiment indices to measure investor sentiment by applying textual analysis techniques.Differing from the developed market, we find that the investor sentiment from an emerging market causes stock volatility by a nonlinear pattern rather than a linear style. Furthermore, we show that the investor sentiment improves stock volatility prediction based on the long short-term memory model. And the predictability is still significant after considering another sentiment proxy variable. Finally, we demonstrate that this improvement of predictive performance is meaningful from an economic point of view.

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Sentiment in oil markets

Cited by 86 publications

References 57 publications

Influences from the European Parliament on EU emissions prices

Influences from the European Parliament on EU emissions prices

Influences from the European Parliament on EU Emissions Prices

Predicting stock market volatility based on textual sentiment: A nonlinear analysis

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