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

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage25en_US
dc.citation.spage5en_US
dc.citation.volumeNumber43en_US
dc.contributor.authorCepni, Oğuzhan
dc.contributor.authorNguyen, Duc Khuong
dc.contributor.authorŞensoy, Ahmet
dc.date.accessioned2023-02-28T13:52:49Z
dc.date.available2023-02-28T13:52:49Z
dc.date.issued2022
dc.departmentDepartment of Managementen_US
dc.description.abstractWe 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.en_US
dc.embargo.release2024-01-01
dc.identifier.doi10.5547/01956574.43.SI1.ocepen_US
dc.identifier.eissn0195-6574
dc.identifier.urihttp://hdl.handle.net/11693/111956
dc.language.isoEnglishen_US
dc.publisherInternational Association for Energy Economicsen_US
dc.relation.isversionofhttps://dx.doi.org/10.5547/01956574.43.SI1.ocepen_US
dc.source.titleEnergy Journalen_US
dc.subjectCrude oil returnsen_US
dc.subjectDensity forecastingen_US
dc.subjectInvestor attentionen_US
dc.subjectTime-varying Granger causalityen_US
dc.subjectVariable selectionen_US
dc.titleNews media and attention spillover across energy markets: a powerful predictor of crude oil futures pricesen_US
dc.typeArticleen_US
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