Scholarlink

<p>This paper examines transaction information extracted from the Henry Hub (HH) natural gas futures options over 2018-2024 for their practical value in tracking investor sentiment and predicting the underlying market returns. Various temporal measures of market sentiment based on a pessimistic, optimistic, and a consensus market outlook are proposed in a battery of forecasting models. The results show that these market microstructure measures have significant predictive power in the very short-run, where they statistically and economically outperform alternative model specifications based on market fundamentals and more standard market sentiment indicators such as the volatility index (VIX) and the economic policy uncertainty (EPU) index. It was also found that natural gas market sentiment has shifted from a neutral stance in 2018-2020 to, first, market pessimism during the COVID-19 pandemic, and, then, to a more optimistic outlook over the past couple of years.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Natural gas market sentiment

  • 期刊论文

  • 发表日期：

    2026年4月20日

查看全文
  • Deniz Erdemlioglu,
  • Nikola Gradojevic

摘要

This paper examines transaction information extracted from the Henry Hub (HH) natural gas futures options over 2018-2024 for their practical value in tracking investor sentiment and predicting the underlying market returns. Various temporal measures of market sentiment based on a pessimistic, optimistic, and a consensus market outlook are proposed in a battery of forecasting models. The results show that these market microstructure measures have significant predictive power in the very short-run, where they statistically and economically outperform alternative model specifications based on market fundamentals and more standard market sentiment indicators such as the volatility index (VIX) and the economic policy uncertainty (EPU) index. It was also found that natural gas market sentiment has shifted from a neutral stance in 2018-2020 to, first, market pessimism during the COVID-19 pandemic, and, then, to a more optimistic outlook over the past couple of years.