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Mood-misattribution effect on energy markets: a biorhythm approach

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  • Marc Joëts

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper investigates the relationship between emotion and European energy forward prices of oil, gas, coal and electricity during normal times and periods of extreme price movements relying on the biorhythm approach. To this end, we use the Seasonal Affective Disorder (SAD) variable to study the impact of emotion on energy market dynamics. Estimating OLS and quantile regressions, we find that seasonal patterns have a significant impact during extreme volatility periods only. Further investigations reveal that the SAD affect is significant during periods of price decrease, but insignificant during priceincrease. The out-of-sample predictive ability properties are also investigated and show that our "SAD model" outperforms significantly the pure "macroeconomic one".

Suggested Citation

  • Marc Joëts, 2012. "Mood-misattribution effect on energy markets: a biorhythm approach," Working Papers hal-04141071, HAL.
    • Handle: RePEc:hal:wpaper:hal-04141071
    Note: View the original document on HAL open archive server: https://hal.science/hal-04141071
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    File URL: https://hal.science/hal-04141071/document
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    References listed on IDEAS

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