| Abstract: |
| Investor sentiment has become an important factor affecting oil return risks. Therefore, we utilise a CAViaR model to measure the return risks of the crude oil market from 1997 to 2017. And then, we explore the asymmetric effect of investor sentiment on crude oil return risks by establishing a Markov regime-switching Regression Model. It also should be noted that after 2011 the spread between WTI and Brent price has widen, so we also aim to investigate the relationship between investor sentiment and return risks in both the WTI and Brent crude oil markets. |
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