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The Impact of Market Factors and News Sentiments on Silver Futures ETFs

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Listed:
  • Yu-Min Lian
  • Jian-Chi Yang
  • Ko-Liang Kuo

Abstract

This study constructs a multi-factor capital asset pricing model (CAPM) to analyze systematic risk and other influential risk factors in the silver futures exchange-traded funds (silver futures ETFs) market and then provides an analysis of precious metals investments as a reference. Specifically, the volatility index (VIX) and the real estate investment trusts (REITs) are used as influences of silver futures on political and economic factors. In addition, we use text mining to capture news events on the network into a Boolean matrix, which transforms unstructured data into structured data. Further, the term frequency (TF) and inverse document frequency (IDF) algorithm are applied to calculate the most important keywords on the market and measure them in the model after a sentimental evaluation. The empirical results show that the silver futures ETFs market is indeed affected by market news, providing investors in this market with a reference. Â JEL classification numbers: C10, C13, G00, G10.

Suggested Citation

  • Yu-Min Lian & Jian-Chi Yang & Ko-Liang Kuo, 2022. "The Impact of Market Factors and News Sentiments on Silver Futures ETFs," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(2), pages 1-2.
    • Handle: RePEc:spt:apfiba:v:12:y:2022:i:2:f:12_2_2
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    References listed on IDEAS

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    More about this item

    Keywords

    Silver futures ETFs; Volatility index; Real estate investment trusts; Text mining; Inverse document frequency.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G00 - Financial Economics - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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