Connectedness of Agricultural Commodities Futures Returns: Do News Media Sentiments Matter?

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2023-09-28 DOI:10.1080/15427560.2023.2256910

Oguzhan Cepni, Linh Pham, Ugur Soytas

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引用次数: 0

Abstract

AbstractUsing the novel daily commodity-specific Thomson Reuters Market Psych sentiment data derived from news, social media, press releases, and regulatory filings, this study investigates the asymmetric impact of news and social media sentiment on the futures return connectedness of agricultural commodities. We construct time-varying connectedness measures for agricultural commodities futures returns at different quantiles and show how these spillover measures depend on news sentiment under extreme events. Our results show that the impact of news media sentiment on agricultural commodity connectedness depends on the quantiles (lower, median, upper) and the type of sentiment (traditional news or social media). In particular, we find that social media sentiment has a statistically significant impact on the magnitude of shocks each commodity transmits to others, at both the lower and upper quantiles, indicating that the media sentiment effect is more substantial during extreme market periods.Keywords: Commodity marketNews sentimentQuantile connectednessSpillovers Disclosure statementNo potential conflict of interest was reported by the author(s).Notes1 Maghyereh and Abdoh (Citation2019) do this for nonagricultural commodities.

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农产品期货收益关联性:新闻媒体情绪重要吗?

摘要本研究利用从新闻、社交媒体、新闻稿和监管文件中提取的汤森路透市场心理数据，研究了新闻和社交媒体情绪对农产品期货收益关联的不对称影响。我们构建了不同分位数农产品期货收益的时变连通性度量，并展示了这些溢出度量如何依赖于极端事件下的新闻情绪。我们的研究结果表明，新闻媒体情绪对农产品连通性的影响取决于分位数(低、中位数、高)和情绪类型(传统新闻或社交媒体)。特别是，我们发现社交媒体情绪对每种商品传递给其他商品的冲击程度都有统计上显著的影响，在上下分位数上都是如此，这表明在极端市场时期，媒体情绪的影响更为显著。关键词:商品市场新闻情绪分位数关联溢出披露声明作者未报告潜在的利益冲突。注1 Maghyereh和Abdoh (Citation2019)对非农业商品进行了这一研究。

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.