Abstract
With the progress of crude oil financialization, crude oil futures has become an important derivative product, and its price discovery function has been widely concerned by investors. The relationship between sentiment and price can be studied by constructing oil market sentiment index. Considering that the investor sentiment of single-market energy futures may not reflect the cross-market impact well, this paper selected OI, PSY, RSI and other commonly used futures trading indicators, and used principal component analysis to construct the investor sentiment indexes of single-market (crude oil) and cross-market (crude oil, fuel oil, coking coal, coke) respectively. VAR, Granger test and linear regression are used to explore the influence of investor sentiment on the volatility of crude oil futures prices. The results show that: (i) There is a Granger causality relationship between single market (crude oil) investor sentiment and crude oil price; (ii) There is no Granger causality relationship between cross-market investor sentiment and crude oil price; (iii) Single market and cross-market investor sentiment have an asymmetric effect on the price fluctuation of crude oil futures market.
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