Document de travail 2012-24
Mood-misattribution effect on energy markets: a biorhythm approach
Résumé :
This paper investigates the relationship between emotion and European energy forward prices of oil, gas, coal and electricity during normal times and periods of extreme price movements relying on the biorhythm approach. To this end, we use the Seasonal Affective Disorder (SAD) variable to study the impact of emotion on energy market dynamics. Estimating OLS and quantile regressions, we find that seasonal patterns have a significant impact during extreme volatility periods only. Further investigations reveal that the SAD affect is significant during periods of price decrease, but insignificant during priceincrease. The out-of-sample predictive ability properties are also investigated and show that our "SAD model" outperforms significantly the pure "macroeconomic one".
Classification JEL : G02 C21 Q40
Mots-clés : energy forward markets; mood-misattribution; behavioral finance; extreme price movements; quantile regression
