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Cross-Market Investor Sentiment of Energy Futures and Return Comovements

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  • Chen, Rongda
  • Wang, Shengnan
  • Ye, Mengya
  • Jin, Chenglu
  • Ren, He
  • Chen, Shu

Abstract

Investor sentiment in the energy futures of a single market might not be able to capture cross-market effects well. This paper considers multiple energy futures markets (crude oil, gasoline, etc.) in constructing cross-market sentiment and returns to capture the sentiment characteristics and overall dynamics of the energy futures market. The results show that (i) cross-market investor sentiment and returns Granger-cause each other, (ii) cross-market investor sentiment has an important but asymmetric impact on the volatility of the energy futures market, and (iii) the asymmetric impact of cross-market investor sentiment on return volatility varies across segments of bear/bull energy markets.

Suggested Citation

  • Chen, Rongda & Wang, Shengnan & Ye, Mengya & Jin, Chenglu & Ren, He & Chen, Shu, 2022. "Cross-Market Investor Sentiment of Energy Futures and Return Comovements," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003567
    DOI: 10.1016/j.frl.2022.103133
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    References listed on IDEAS

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    4. Fang, Ming & Lin, Yizhou & Chang, Chiu-Lan, 2023. "Positive and negative price bubbles of Chinese agricultural commodity futures," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 456-471.

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