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Sentiment in oil markets

Deeney, Peter orcid logoORCID: 0000-0002-8112-8692, Cummins, Mark orcid logoORCID: 0000-0002-3539-8843, Dowling, Michael orcid logoORCID: 0000-0002-8093-9039 and Bermingham, Adam (2015) Sentiment in oil markets. International Review of Financial Analysis, 39 (2015). pp. 179-185. ISSN 1057-5219

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.
Item Type:Article (Published)
Uncontrolled Keywords:Market sentiment; Crude oil; Energy; Multiple hypothesis testing
Subjects:Business > Finance
DCU Faculties and Centres:DCU Faculties and Schools > DCU Business School
Official URL:http://dx.doi.org/10.1016/j.irfa.2015.01.005
Copyright Information:© 2015 Elsevier
Use License:This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License
ID Code:20971
Deposited On:25 Jan 2016 11:39 by Peter Deeney . Last Modified 21 Feb 2022 13:34

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