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Novel and old news sentiment in commodity futures markets

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  • Chi, Yeguang
  • El-Jahel, Lina
  • Vu, Thanh

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.

Suggested Citation

  • Chi, Yeguang & El-Jahel, Lina & Vu, Thanh, 2024. "Novel and old news sentiment in commodity futures markets," Energy Economics, Elsevier, vol. 140(C).
    • Handle: RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400714x
    DOI: 10.1016/j.eneco.2024.108006
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    More about this item

    Keywords

    Commodity futures returns; News sentiment; Novel news; Old news;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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