Online media in dairy markets: a US dairy futures market study

IF 1.5 Q3 AGRICULTURAL ECONOMICS & POLICY

Agricultural Finance Review Pub Date : 2022-07-25 DOI:10.1108/afr-03-2022-0034

M. Ortez, N. Widmar, Mindy L. Mallory, C. Wolf, C. Bir

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引用次数: 2

Abstract

PurposeThis article quantifies public sentiment for dairy products using online media and investigates potential relationships between online media, both volume and sentiment, and future prices of Class III milk.Design/methodology/approachNetbase, an online media listening platform, was used to quantify US generated online media sentiment and number of mentions regarding dairy products. Granger-causality tests and Impulse Response Functions (IRFs) were used to study relationships between online media derived data and dairy futures prices.FindingsMilk and cheese have more mentions in online media than yogurt and ice cream. Online media net sentiment around milk was the lowest of the dairy products studied. Granger-causality tests showed that Class III milk price Granger-causes net sentiment of dairy as a whole and of fluid milk. Price additionally Granger-causes mentions of milk, ice cream and yogurt. Notably, milk and ice cream mentions Granger-cause the Class III milk price. IRF's reveals that increases in mentions have a positive, albeit small, effect on the Class III milk price that is statistically significant for ice cream, but not for milk. IRF's directionality of the relationship from price to online media derived data was mixed.Originality/valueThis is the first time that relationships between online media -volume and sentiment- and futures prices of an agricultural commodity are researched. Exploration of futures markets alongside online media advances the use of online media to glean insights in financial, along with food and agricultural markets.

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乳制品市场中的在线媒体:一项美国乳制品期货市场研究

本文利用网络媒体量化公众对乳制品的情绪，并调查网络媒体(数量和情绪)与III类牛奶未来价格之间的潜在关系。设计/方法/方法使用在线媒体倾听平台netbase来量化美国在线媒体对乳制品的情绪和提及次数。运用granger因果检验和脉冲响应函数(irf)研究了网络媒体衍生数据与乳制品期货价格之间的关系。在网络媒体上，牛奶和奶酪比酸奶和冰淇淋被提及的次数更多。网络媒体对牛奶的评价是所有乳制品中最低的。格兰杰因果关系检验表明，三级牛奶价格的格兰杰原因净情绪乳品整体和液态奶。此外，格兰杰还提到了牛奶、冰淇淋和酸奶的价格。值得注意的是，牛奶和冰淇淋提到了格兰杰——导致了第三类牛奶的价格。IRF的研究显示，提及次数的增加对第三类牛奶的价格有积极的影响，尽管影响很小，对冰淇淋有统计学意义，但对牛奶没有。IRF对价格与网络媒体衍生数据之间关系的方向性好坏参半。原创性/价值这是首次研究网络媒体(数量和情绪)与农产品期货价格之间的关系。与网络媒体一起探索期货市场，促进了利用网络媒体收集金融、食品和农业市场的见解。

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

Agricultural Finance Review AGRICULTURAL ECONOMICS & POLICY-

CiteScore

3.70

自引率

18.80%

发文量

期刊介绍： Agricultural Finance Review provides a rigorous forum for the publication of theory and empirical work related solely to issues in agricultural and agribusiness finance. Contributions come from academic and industry experts across the world and address a wide range of topics including: Agricultural finance, Agricultural policy related to agricultural finance and risk issues, Agricultural lending and credit issues, Farm credit, Businesses and financial risks affecting agriculture and agribusiness, Agricultural policies affecting farm or agribusiness risks and profitability, Risk management strategies including the use of futures and options, Rural credit in developing economies, Microfinance and microcredit applied to agriculture and rural development, Financial efficiency, Agriculture insurance and reinsurance. Agricultural Finance Review is committed to research addressing (1) factors affecting or influencing the financing of agriculture and agribusiness in both developed and developing nations; (2) the broadest aspect of risk assessment and risk management strategies affecting agriculture; and (3) government policies affecting farm profitability, liquidity, and access to credit.