Novel and old news sentiment in commodity futures markets
Year: 2024
Type: article
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.
Source: Energy Economics
Authors: Yeguang Chi, Lina El-Jahel, Thanh Vu
Institution: University of Auckland
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,680
OpenAlex ID: W4404170674