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The role of news-based sentiment in forecasting crude oil price during the Covid-19 pandemic

Author

Listed:
  • Jean-Michel Sahut

    (IDRAC Business School)

  • Petr Hajek

    (University of Pardubice)

  • Vladimir Olej

    (University of Pardubice)

  • Lubica Hikkerova

    (IPAG Business School)

Abstract

During the Covid-19 pandemic, news-based sentiment emerged as a factor linked to crude oil prices in the literature. However, the question remained as to whether this sentiment could be used to more accurately predict crude oil prices. To assess the effect of news-based sentiment on forecasting crude oil prices, five models based on state-of-the-art machine learning methods were compared; they were taken from the literature on crude oil forecasting. Results are reported for each method for the period of the Covid-19 pandemic and also for the years from 1990 to the beginning of the pandemic. This allowed for the examination of the role of news-based sentiment during different periods of economic development and crisis. Across the machine learning methods, a significant effect of news-based sentiment was observed in terms of its predictive performance during the Covid-19 period, in contrast to previous periods, including the financial crisis of 2008–2009.

Suggested Citation

  • Jean-Michel Sahut & Petr Hajek & Vladimir Olej & Lubica Hikkerova, 2025. "The role of news-based sentiment in forecasting crude oil price during the Covid-19 pandemic," Annals of Operations Research, Springer, vol. 345(2), pages 861-884, February.
    • Handle: RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-024-05821-z
    DOI: 10.1007/s10479-024-05821-z
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    More about this item

    Keywords

    Crude oil price; News; Sentiment; Prediction; Machine learning; Covid-19;
    All these keywords.

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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