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dc.contributor.authorOmura, Akihiro
dc.contributor.authorTodorova, Neda
dc.date.accessioned2019-07-14T12:30:37Z
dc.date.available2019-07-14T12:30:37Z
dc.date.issued2019
dc.identifier.issn0270-7314
dc.identifier.doi10.1002/fut.22010
dc.identifier.urihttp://hdl.handle.net/10072/385705
dc.description.abstractFocusing on energy commodities, industrial metals, and gold, this paper examines the degree to which commodity futures returns depend on news sentiment under various market conditions, and the structure of that dependence. We observe an asymmetric market reaction to positive and negative news sentiment, which changes in periods of financial turmoil. The quantile regression analysis shows that news sentiment's influence on the futures returns follows an upward trend at higher percentiles. This structure flattens for positive news during the global financial crisis, while the slope for the negative component steepens in backwardation periods.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherWILEY
dc.relation.ispartofpagefrom818
dc.relation.ispartofpageto837
dc.relation.ispartofissue7
dc.relation.ispartofjournalJOURNAL OF FUTURES MARKETS
dc.relation.ispartofvolume39
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3502
dc.titleThe quantile dependence of commodity futures markets on news sentiment
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorTodorova, Neda
gro.griffith.authorOmura, Akihiro


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