Novel and old news sentiment in commodity futures markets

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-11-08 DOI:10.1016/j.eneco.2024.108006

Yeguang Chi, Lina El-Jahel, Thanh Vu

引用次数: 0

Abstract

This study investigates the relationship between novel and old news sentiment and commodity futures returns. Using TRNA data from Thomson Reuters, we measure daily sentiment of both novel and old news to estimate their impact on commodity futures returns. Our findings reveal that both novel and old news sentiment significantly correlate with returns, with old sentiment having a stronger effect. Notably, only old news sentiment triggers an overreaction on the news day, which largely reverses over the subsequent 30 trading days. During periods of high financial stress and uncertainty, old news sentiment has a more pronounced impact on commodity futures returns. This paper contributes to the literature by highlighting the distinct impact patterns of old and novel news sentiment.

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商品期货市场的新旧新闻情绪

本研究探讨了新旧新闻情绪与商品期货收益之间的关系。利用汤森路透的 TRNA 数据，我们测量了每日新旧新闻情绪，以估计它们对商品期货收益的影响。我们的研究结果表明，新旧新闻情绪都与收益率有显著相关性，其中旧新闻情绪的影响更大。值得注意的是，只有旧新闻情绪会在新闻发布当天引发过度反应，而这种过度反应在随后的 30 个交易日中基本会逆转。在金融压力和不确定性较大的时期，旧新闻情绪对商品期货收益的影响更为明显。本文通过强调旧新闻情绪和新新闻情绪的不同影响模式，为相关文献做出了贡献。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.