Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193501
Authors: 
Czudaj, Robert L.
Year of Publication: 
2018
Series/Report no.: 
Chemnitz Economic Papers 027
Abstract: 
This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques to decompose crude oil futures prices into different frequencies accounting for investors' sentiment at various horizons. To allow for different effects on the propagation mechanism of uncertainty shocks, we apply a time-varying Bayesian VAR approach. Our findings indicate that both measures of uncertainty affect momentum trading on the crude oil futures market in several periods, especially during the great recession between 2007 and 2009. For the decomposed futures prices our results also show that the reaction to uncertainty differs sub- stantially across frequencies. High frequencies exhibit a very short-lived reaction to uncertainty while low frequencies show a persistent reaction to uncertainty shocks.
Subjects: 
Crude oil futures
technical analysis
time-varying Bayesian VAR
uncertainty
wavelets
JEL: 
C32
G13
Q47
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size
5.81 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.