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Asian Review of Financial Research, Vol., No..
pp.1950~1961
pp.1950~1961
Does Investor¡¯s Sentiment Predict Prices Movements? A Case Study of the NYMEX Petroleum Futures Markets
Sunghee Choi Korea Energy Economic Institute
Moohoun Song Korea Energy Economic Institute
Soo-Il Kim Korea Energy Economic Institute
This paper studies whether actual position-based investor sentiment is useful in predicting price movements in three major petroleum futures markets: crude oil, heating oil, and unleaded gasoline. Using Wang (2003)¡¯s methodology for the sentiment measurement and weekly actual position data during 1996 ~ 2006 from the COT report, the investors¡¯ sentiments are found to have an insignificant influence on futures price movements in subsequent periods. Our results suggest that either the actual positionbased sentiment index is faulty or investor¡¯s sentiment is not related to subsequent price movements in the petroleum futures markets
Sunghee Choi
Moohoun Song
Soo-Il Kim
This paper studies whether actual position-based investor sentiment is useful in predicting price movements in three major petroleum futures markets: crude oil, heating oil, and unleaded gasoline. Using Wang (2003)¡¯s methodology for the sentiment measurement and weekly actual position data during 1996 ~ 2006 from the COT report, the investors¡¯ sentiments are found to have an insignificant influence on futures price movements in subsequent periods. Our results suggest that either the actual positionbased sentiment index is faulty or investor¡¯s sentiment is not related to subsequent price movements in the petroleum futures markets