Table 11 Position change and the SESTM...

Table 11

Position change and the SESTM

	Commercials				Non-commercials
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
SESTM	−0.003*				0.002*
SESTM	(−1.667)				(1.746)
HIV		0.030**				−0.006
HIV		(2.399)				(−0.750)
LM			0.017				−0.009
LM			(−1.632)				(−1.272)
VADER				0.001				−0.000
VADER				(1.522)				(−0.927)
VIX return	0.010	0.006	0.004	0.008	0.004	0.007	0.008	0.006
VIX return	(0.921)	(0.535)	(0.384)	(0.717)	(0.570)	(0.880)	(1.037)	(0.810)
Gold return	−0.013	−0.011	−0.016	−0.020	−0.011	−0.011	−0.010	−0.009
Gold return	(−0.373)	(−0.319)	(−0.450)	(−0.549)	(−0.450)	(−0.469)	(−0.400)	(−0.357)
SP&500 return	0.256	0.204	0.186	0.212	0.011	0.052	0.067	0.056
SP&500 return	(1.459)	(1.176)	(1.054)	(1.213)	(0.105)	(0.490)	(0.631)	(0.524)
NASDAQ return	−0.119	−0.119	−0.095	−0.111	0.034	0.022	0.014	0.021
NASDAQ return	(−1.118)	(−1.125)	(−0.894)	(−1.044)	(0.486)	(0.319)	(0.205)	(0.299)
Dollar return	0.111	0.111	0.095	0.112	−0.103	−0.101	−0.095	−0.103
Dollar return	(0.935)	(0.939)	(0.800)	(0.939)	(−1.292)	(−1.258)	(−1.183)	(−1.275)
Gas return	0.017	0.010	0.012	0.012	−0.016	−0.013	−0.013	−0.013
Gas return	(0.942)	(0.558)	(0.680)	(0.646)	(−1.355)	(−1.068)	(−1.075)	(−1.045)
EPU return	0.002*	0.002*	0.002*	0.002*	0.000	0.001	0.000	0.001
EPU return	(1.960)	(1.789)	(1.882)	(1.815)	(0.416)	(0.652)	(0.570)	(0.634)
FSI	0.012***	0.011***	0.012***	0.012***	−0.003	−0.003	−0.003	−0.003
FSI	(3.043)	(2.694)	(2.931)	(3.023)	(−1.271)	(−1.064)	(−1.158)	(−1.206)
OVX return	0.044***	0.042***	0.043***	0.046***	0.009	0.009	0.009	0.008
OVX return	(3.976)	(3.769)	(3.845)	(4.089)	(1.210)	(1.154)	(1.221)	(1.050)
Constant	0.012***	−0.011	−0.001	0.006***	−0.005*	0.003	0.003	−0.001
Constant	(2.706)	(−1.553)	(−0.256)	(3.238)	(−1.802)	(0.597)	(0.954)	(−0.663)
Observations	192	192	192	192	192	192	192	192
Adjusted R²	0.083	0.098	0.083	0.081	0.017	0.003	0.009	0.005
Year-month FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

	Commercials				Non-commercials
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
SESTM	−0.003*				0.002*
SESTM	(−1.667)				(1.746)
HIV		0.030**				−0.006
HIV		(2.399)				(−0.750)
LM			0.017				−0.009
LM			(−1.632)				(−1.272)
VADER				0.001				−0.000
VADER				(1.522)				(−0.927)
VIX return	0.010	0.006	0.004	0.008	0.004	0.007	0.008	0.006
VIX return	(0.921)	(0.535)	(0.384)	(0.717)	(0.570)	(0.880)	(1.037)	(0.810)
Gold return	−0.013	−0.011	−0.016	−0.020	−0.011	−0.011	−0.010	−0.009
Gold return	(−0.373)	(−0.319)	(−0.450)	(−0.549)	(−0.450)	(−0.469)	(−0.400)	(−0.357)
SP&500 return	0.256	0.204	0.186	0.212	0.011	0.052	0.067	0.056
SP&500 return	(1.459)	(1.176)	(1.054)	(1.213)	(0.105)	(0.490)	(0.631)	(0.524)
NASDAQ return	−0.119	−0.119	−0.095	−0.111	0.034	0.022	0.014	0.021
NASDAQ return	(−1.118)	(−1.125)	(−0.894)	(−1.044)	(0.486)	(0.319)	(0.205)	(0.299)
Dollar return	0.111	0.111	0.095	0.112	−0.103	−0.101	−0.095	−0.103
Dollar return	(0.935)	(0.939)	(0.800)	(0.939)	(−1.292)	(−1.258)	(−1.183)	(−1.275)
Gas return	0.017	0.010	0.012	0.012	−0.016	−0.013	−0.013	−0.013
Gas return	(0.942)	(0.558)	(0.680)	(0.646)	(−1.355)	(−1.068)	(−1.075)	(−1.045)
EPU return	0.002*	0.002*	0.002*	0.002*	0.000	0.001	0.000	0.001
EPU return	(1.960)	(1.789)	(1.882)	(1.815)	(0.416)	(0.652)	(0.570)	(0.634)
FSI	0.012***	0.011***	0.012***	0.012***	−0.003	−0.003	−0.003	−0.003
FSI	(3.043)	(2.694)	(2.931)	(3.023)	(−1.271)	(−1.064)	(−1.158)	(−1.206)
OVX return	0.044***	0.042***	0.043***	0.046***	0.009	0.009	0.009	0.008
OVX return	(3.976)	(3.769)	(3.845)	(4.089)	(1.210)	(1.154)	(1.221)	(1.050)
Constant	0.012***	−0.011	−0.001	0.006***	−0.005*	0.003	0.003	−0.001
Constant	(2.706)	(−1.553)	(−0.256)	(3.238)	(−1.802)	(0.597)	(0.954)	(−0.663)
Observations	192	192	192	192	192	192	192	192
Adjusted R²	0.083	0.098	0.083	0.081	0.017	0.003	0.009	0.005
Year-month FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Note(s): This table presents the OLS regression results examining the impact of various sentiment measures on crude oil returns by different types of investors. Columns from (1) to (4) provide the regression results for the sentiment scores calculated by the SESTM method, HIV dictionary, LM dictionary, and VADER algorithm, respectively, on the position changes of commercial traders. Columns from (5) to (8) present the results for the position changes of non-commercial traders. Variables are defined in Appendix. All regressions include year-month fixed effects. t-statistics are in parentheses. *, **, and *** denote significance at the 10, 5, and 1% level, respectively

Source(s): Authors’ own work

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