Does Investor’s Sentiment Predict Prices Movements? A Case Study of the NYMEX Petroleum Futures Markets

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, both speculator’s and hedger’s sentiments are found to have an insignificant influence on futures price movements in subsequent periods. These empirical findings do not support for the argument that the recent oil price movements are results from investor’s sentiment.