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

Publication ,  Journal Article
Brandt, MW; Gao, L
Published in: Journal of Empirical Finance
March 1, 2019

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.

Duke Scholars

Published In

Journal of Empirical Finance

DOI

ISSN

0927-5398

Publication Date

March 1, 2019

Volume

51

Start / End Page

64 / 94

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
  • 1403 Econometrics
  • 1402 Applied Economics
 

Citation

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Brandt, M. W., & Gao, L. (2019). Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. Journal of Empirical Finance, 51, 64–94. https://doi.org/10.1016/j.jempfin.2019.01.007
Brandt, M. W., and L. Gao. “Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil.” Journal of Empirical Finance 51 (March 1, 2019): 64–94. https://doi.org/10.1016/j.jempfin.2019.01.007.
Brandt MW, Gao L. Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. Journal of Empirical Finance. 2019 Mar 1;51:64–94.
Brandt, M. W., and L. Gao. “Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil.” Journal of Empirical Finance, vol. 51, Mar. 2019, pp. 64–94. Scopus, doi:10.1016/j.jempfin.2019.01.007.
Brandt MW, Gao L. Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. Journal of Empirical Finance. 2019 Mar 1;51:64–94.
Journal cover image

Published In

Journal of Empirical Finance

DOI

ISSN

0927-5398

Publication Date

March 1, 2019

Volume

51

Start / End Page

64 / 94

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
  • 1403 Econometrics
  • 1402 Applied Economics