News media and attention spillover across energy markets: a powerful predictor of crude oil futures prices
buir.contributor.author | Şensoy, Ahmet | |
buir.contributor.orcid | Şensoy, Ahmet|0000-0001-7967-5171 | |
dc.citation.epage | 25 | en_US |
dc.citation.spage | 5 | en_US |
dc.citation.volumeNumber | 43 | en_US |
dc.contributor.author | Cepni, Oğuzhan | |
dc.contributor.author | Nguyen, Duc Khuong | |
dc.contributor.author | Şensoy, Ahmet | |
dc.date.accessioned | 2023-02-28T13:52:49Z | |
dc.date.available | 2023-02-28T13:52:49Z | |
dc.date.issued | 2022 | |
dc.department | Department of Management | en_US |
dc.description.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. | en_US |
dc.description.provenance | Submitted by Zeliha Bucak Çelik (zeliha.celik@bilkent.edu.tr) on 2023-02-28T13:52:49Z No. of bitstreams: 1 News_media_and_attention_spillover_across_energy_markets_a_powerful_predictor_of_crude_oil_futures_prices.pdf: 2350190 bytes, checksum: 4ec76ca057dd28cfe8215d243594531f (MD5) | en |
dc.description.provenance | Made available in DSpace on 2023-02-28T13:52:49Z (GMT). No. of bitstreams: 1 News_media_and_attention_spillover_across_energy_markets_a_powerful_predictor_of_crude_oil_futures_prices.pdf: 2350190 bytes, checksum: 4ec76ca057dd28cfe8215d243594531f (MD5) Previous issue date: 2022 | en |
dc.embargo.release | 2024-01-01 | |
dc.identifier.doi | 10.5547/01956574.43.SI1.ocep | en_US |
dc.identifier.eissn | 0195-6574 | |
dc.identifier.uri | http://hdl.handle.net/11693/111956 | |
dc.language.iso | English | en_US |
dc.publisher | International Association for Energy Economics | en_US |
dc.relation.isversionof | https://dx.doi.org/10.5547/01956574.43.SI1.ocep | en_US |
dc.source.title | Energy Journal | en_US |
dc.subject | Crude oil returns | en_US |
dc.subject | Density forecasting | en_US |
dc.subject | Investor attention | en_US |
dc.subject | Time-varying Granger causality | en_US |
dc.subject | Variable selection | en_US |
dc.title | News media and attention spillover across energy markets: a powerful predictor of crude oil futures prices | en_US |
dc.type | Article | en_US |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- News_media_and_attention_spillover_across_energy_markets_a_powerful_predictor_of_crude_oil_futures_prices.pdf
- Size:
- 2.24 MB
- Format:
- Adobe Portable Document Format
- Description:
License bundle
1 - 1 of 1
No Thumbnail Available
- Name:
- license.txt
- Size:
- 1.69 KB
- Format:
- Item-specific license agreed upon to submission
- Description: