Returns and volatilities of energy futures markets: Roles of speculative and hedging sentiments

This study examines how speculative and hedging sentiments influence the returns volatilities of energy futures markets. We construct sentiment indices based on weekly data fund commercial positions four futures: crude oil, heating gasoline, natural gas, traded New York Mercantile Exchange (NYMEX) from 15 January 2013 to 5 February 2019. Our demonstrates that generates greater market fluctuations in markets than sentiment; and, further, stimulates a reversal effect oil futures. Moreover, exerts positive systemic risk compensation futures' returns, whereas alleviates Most notably, distinguishing it leverage stock markets, is influenced more by good bad news; while exhibits emotional neutrality, as opposed its impact reported literature. Additionally, significant compensation, three other do not have an influence, confirming prevalence speculation transactions further analysis shows cross-market volatility spillover effects, among which inherent causes spillovers futures, has no such effect. implications for overseeing international providing regulators with evidence will facilitate development effective strategies strengthen supervision.