Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil

Published

Journal Article

© 2019 Elsevier B.V. News about macroeconomic fundamentals and geopolitical events affect crude oil markets differently. Using sentiment scores for a broad set of global news of different types, we find that news related to macro fundamentals have an impact on the oil price in the short run and significantly predict oil returns in the long run. Geopolitical news have a much stronger immediate impact but exhibit no predictability. Moreover, geopolitical news generate more uncertainty and greater trading volume, consistent with a disagreement explanation, while macroeconomic news are associated with subsequent lower trading volume. Finally, we find that news sentiment tracks the statistical releases quite well and can partially predict the future realizations of the economic data.

Full Text

Duke Authors

Cited Authors

  • Brandt, MW; Gao, L

Published Date

  • March 1, 2019

Published In

Volume / Issue

  • 51 /

Start / End Page

  • 64 - 94

International Standard Serial Number (ISSN)

  • 0927-5398

Digital Object Identifier (DOI)

  • 10.1016/j.jempfin.2019.01.007

Citation Source

  • Scopus