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      News media and attention spillover across energy markets: a powerful predictor of crude oil futures prices

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      Author(s)
      Cepni, Oğuzhan
      Nguyen, Duc Khuong
      Şensoy, Ahmet
      Date
      2022
      Source Title
      Energy Journal
      Electronic ISSN
      0195-6574
      Publisher
      International Association for Energy Economics
      Volume
      43
      Pages
      5 - 25
      Language
      English
      Type
      Article
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      Abstract
      We develop two news-based investor attention measures from the news trends function of the Bloomberg terminal and investigate their predictive power for returns on crude oil futures contracts with various maturities. Our main results after controlling for relevant macroeconomic variables show that the Oil-based Institutional Attention Index is useful in predicting oil futures returns, especially during price downturn periods, while the forecasting accuracy is further improved when the Commodity Market Institutional Attention Index is used. This forecasting accuracy decreases, however, with the maturity of oil futures contracts. Moreover, we find some evidence of Granger-causality and regime-dependent interactions between investor attention measures and oil futures returns. Finally, variable selection algorithms matter before making predictions since they create the best forecasting results in many cases considered. These findings are important for in-formed traders and policymakers to better understand the price dynamics of the oil markets. © 2022 by the IAEE. All rights reserved.
      Keywords
      Crude oil returns
      Density forecasting
      Investor attention
      Time-varying Granger causality
      Variable selection
      Permalink
      http://hdl.handle.net/11693/111956
      Published Version (Please cite this version)
      https://dx.doi.org/10.5547/01956574.43.SI1.ocep
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      • Department of Management 639
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