The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

In this paper, we use wavelet coherence analysis to find that sentiment has a significant effect on crude oil returns that lasts over various investment horizons. While oil returns are positively associated with the sentiments of optimism and trust, they are negatively linked to fear and anger. These relations are more pronounced over the medium and the long term. Additionally, we find that short-term oil returns are relatively more sentiment-sensitive during turbulent periods than in normal conditions. These results highlight the importance of sentiment and investor psychology in the crude oil market.

Original languageEnglish
Pages (from-to)110-124
Number of pages15
JournalInternational Economics
Volume162
DOIs
Publication statusPublished - Aug 2020

Keywords

  • Co-movement
  • Crude oil
  • Emotions sentiments
  • Wavelet analysis

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics, Econometrics and Finance(all)

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