“…WTI prices diverged from Brent prices from 2011 to 2014, so we first examine the predictability of the search data series to Brent crude oil prices. The weekly Brent prices 5 The common sentiment indices include the put-call ratio, bullish sentiment index published by Investors Intelligence, bullish market opinion published by Consensus, Inc., and sentiment index based on COT reports (Clarke and Statman, 1998;Sanders et al, 2003;Simon and Wiggins, 2001;Wang, 2001;Wang et al, 2006). We construct the SI based on the algorithm in Wang (2001).…”