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How often do price discontinuities occur on spot and futures energy markets? What are their core characteristics in terms of incidence, size, and direction? Are price discontinuities in energy commodities related to large swings in market sentiment? Our study answers these questions by investigating the jump incidence of daily energy spot and nearest month futures returns for crude oil, natural gas, gasoline, heating oil and propane using formal nonparametric jump detection procedure for the period January 2003 to May 2013. This study proposes a proxy for aggregate and individual energy market sentiment reflecting the dynamics of news associated with the energy sector and a variety of distinct energy markets. Our analysis demonstrates that the greatest frequency of jumps occurred in spot markets as well as in crude oil and natural gas sentiment indices. The study identifies several types of co-jumps: between spot and futures pairs of energy commodities; across energy commodities; and between energy markets and relevant sentiment indices. Regarding the latter, the study discovers a statistically and practically significant dependency of jumps in corresponding energy commodity prices from the crude oil and aggregate sentiment indices introduced in this study.

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