Variable description
| Variable | Description |
|---|---|
| SESTM | Sentiment score measured by SESTM method (Ke et al., 2019). The sentiment score ranges between 0 to 1 where a higher value implies a positive sentiment |
| HIV | Sentiment score measured by Harvard-IV dictionary. The sentiment score ranges between 0 to 1 where a higher value implies a more positive sentiment |
| LM | Sentiment score measured by Loughran and McDonald dictionary (Loughran and McDonald, 2011). The sentiment score ranges between 0 to 1 where a higher value implies a positive sentiment |
| VADER | Sentiment score measured by VADER algorithm. The sentiment score ranges between −1 to 1 where a higher value implies a more positive sentiment |
| US10 return | A weekly return of the US 10-year treasury bond |
| US30 return | A weekly return of the US 30-year treasury bond |
| VIX return | A weekly return of the Chicago Board Options Exchange (CBOE)’s Volatility Index |
| OVX return | A weekly return of the CBOE Crude Oil ETF Volatility Index |
| Gold return | A weekly return of the gold futures |
| SP&500 return | A weekly return of the S&P 500 index |
| NASDAQ return | A weekly return of the NASDAQ index |
| Dollar return | A weekly return of the US dollar index |
| Gas return | A weekly return of natural gas futures |
| EPU return | A weekly return of the economic policy uncertainty (EPU) change index |
| PXE return | A weekly return of the Invesco Dynamic Energy Exploration and Production (PXE) ETF |
| Variable | Description |
|---|---|
| SESTM | Sentiment score measured by SESTM method ( |
| HIV | Sentiment score measured by Harvard-IV dictionary. The sentiment score ranges between 0 to 1 where a higher value implies a more positive sentiment |
| LM | Sentiment score measured by Loughran and McDonald dictionary ( |
| VADER | Sentiment score measured by VADER algorithm. The sentiment score ranges between −1 to 1 where a higher value implies a more positive sentiment |
| US10 return | A weekly return of the US 10-year treasury bond |
| US30 return | A weekly return of the US 30-year treasury bond |
| VIX return | A weekly return of the Chicago Board Options Exchange (CBOE)’s Volatility Index |
| OVX return | A weekly return of the CBOE Crude Oil ETF Volatility Index |
| Gold return | A weekly return of the gold futures |
| SP&500 return | A weekly return of the S&P 500 index |
| NASDAQ return | A weekly return of the NASDAQ index |
| Dollar return | A weekly return of the US dollar index |
| Gas return | A weekly return of natural gas futures |
| EPU return | A weekly return of the economic policy uncertainty (EPU) change index |
| PXE return | A weekly return of the Invesco Dynamic Energy Exploration and Production (PXE) ETF |
Source(s): Authors’ own work
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