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Finding Evidence of Irrational Exuberance in the Oil Market

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Enterprise Applications and Services in the Finance Industry (FinanceCom 2014)

Part of the book series: Lecture Notes in Business Information Processing ((LNBIP,volume 217))

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Abstract

The availability of novel information may significantly affect the evolution of asset prices. Nonetheless, investors are influenced not only by the quantitative facts but also by the textual content of news disclosures. In this paper, we examine whether news reception in the oil market is time-dependent using a rolling window regression. Our findings suggest that news reception does indeed have a significant effect on returns and we further find evidence for exaggerated news reception as it comes along with a feedback loop. Thus, we succeed in measuring the situation Shiller terms “irrational exuberance”.

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Notes

  1. 1.

    CBS News. Oil Trading’s Powerful “Dark Markets”. 2011. URL: http://www.cbsnews.com/2100-18564_162-4188620.html, accessed September 9, 2014.

  2. 2.

    OPEC. 2013 World Oil Outlook. URL: http://www.opec.org/opec_web/static_files_project/media/downloads/publications/WOO_2013.pdf, accessed September 9, 2014.

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Authors and Affiliations

  1. Information Systems Research, University of Freiburg, Platz der Alten Synagoge, 79098, Freiburg, Germany

    Antal Ratku, Stefan Feuerriegel & Dirk Neumann

  2. School of Computer Science and Engineering, University of New South Wales, Sydney, 2052, Australia

    Stefan Feuerriegel & Fethi A. Rabhi

Authors
  1. Antal Ratku
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  2. Stefan Feuerriegel
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  3. Fethi A. Rabhi
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  4. Dirk Neumann
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Corresponding author

Correspondence to Stefan Feuerriegel .

Editor information

Editors and Affiliations

  1. Curtin University, Perth, West Australia, Australia

    Artur Lugmayr

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Ratku, A., Feuerriegel, S., Rabhi, F.A., Neumann, D. (2015). Finding Evidence of Irrational Exuberance in the Oil Market. In: Lugmayr, A. (eds) Enterprise Applications and Services in the Finance Industry. FinanceCom 2014. Lecture Notes in Business Information Processing, vol 217. Springer, Cham. https://doi.org/10.1007/978-3-319-28151-3_4

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  • DOI: https://doi.org/10.1007/978-3-319-28151-3_4

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-28150-6

  • Online ISBN: 978-3-319-28151-3

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