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

Aktham Maghyereh; Basel Awartani; Hussein Abdoh

doi:10.1016/j.inteco.2020.01.004

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

Aktham Maghyereh^*, Basel Awartani, Hussein Abdoh

^*Corresponding author for this work

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

10 Scopus citations

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 language	English
Pages (from-to)	110-124
Number of pages	15
Journal	International Economics
Volume	162
DOIs	https://doi.org/10.1016/j.inteco.2020.01.004
State	Published - Aug 2020
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2020 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy

Keywords

Co-movement
Crude oil
Emotions sentiments
Wavelet analysis

ASJC Scopus subject areas

General Business, Management and Accounting
General Economics, Econometrics and Finance

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10.1016/j.inteco.2020.01.004

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

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.",

keywords = "Co-movement, Crude oil, Emotions sentiments, Wavelet analysis",

author = "Aktham Maghyereh and Basel Awartani and Hussein Abdoh",

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T1 - The effects of investor emotions sentiments on crude oil returns

T2 - A time and frequency dynamics analysis

AU - Maghyereh, Aktham

AU - Awartani, Basel

AU - Abdoh, Hussein

PY - 2020/8

Y1 - 2020/8

N2 - 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.

AB - 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.

KW - Co-movement

KW - Crude oil

KW - Emotions sentiments

KW - Wavelet analysis

UR - https://www.scopus.com/pages/publications/85079372291

U2 - 10.1016/j.inteco.2020.01.004

DO - 10.1016/j.inteco.2020.01.004

M3 - Article

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SN - 2110-7017

VL - 162

SP - 110

EP - 124

JO - International Economics

JF - International Economics

ER -

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

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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