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Measuring the interdependence between investor sentiment and crude oil returns: New evidence from the CFTC's disaggregated reports

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  • Ji, Qiang
  • Li, Jianping
  • Sun, Xiaolei

Abstract

This paper examines information spillover between WTI returns and investor sentiment indices measured by various trader positions using a connectedness approach. Our findings show that sentiment by trader type is highly correlated with WTI returns. Among the different sentiment types, speculator sentiment makes the largest contribution to WTI returns variation over the full sample period. The dynamic results show that the influence of investor sentiment increases significantly when oil prices are in a downward movement in which hedger sentiment plays the leading role in information transmission.

Suggested Citation

  • Ji, Qiang & Li, Jianping & Sun, Xiaolei, 2019. "Measuring the interdependence between investor sentiment and crude oil returns: New evidence from the CFTC's disaggregated reports," Finance Research Letters, Elsevier, vol. 30(C), pages 420-425.
    • Handle: RePEc:eee:finlet:v:30:y:2019:i:c:p:420-425
    DOI: 10.1016/j.frl.2019.02.005
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    References listed on IDEAS

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