Futures Commodities Prices and Media Coverage
In this paper we examine the effects of media coverage of commodity prices increases and decreases on the price of the commodity and how media coverage in other commodities affects prices. We provide evidence of the relationship between media coverage and its intensity to the price level of agricultural commodities and oil futures. We find that price movements are correlated with the media coverage of up movements, or increase in prices. The direction of the correlation is robust and positive for media coverage of increases in prices, and negative for decreases in prices. These results point to increases in prices being exacerbated by media attention by 8%. In addition, we find interesting countervailing effects of this reinforcing price pressures due to media activity in the previous days. Finally, we find that even though volatility is higher for the set of days where there is media coverage, this hides important dynamics between media coverage and volatility. The volatility of market adjusted returns is negatively correlated with the media coverage, both up and down media coverage. Markets days with intense media coverage of commodity prices tends to have lower volatility.
|Date of creation:||May 2013|
|Contact details of provider:|| Postal: Walter-Flex-Straße 3, D - 53113 Bonn|
Fax: +49 228 / 73-5097
Web page: http://www.zef.de/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carter, Colin A. & Smith, Aaron D., 2006.
"Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn,"
2006 Annual Meeting, August 12-18, 2006, Queensland, Australia
25447, International Association of Agricultural Economists.
- Colin A. Carter & Aaron Smith, 2007. "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," The Review of Economics and Statistics, MIT Press, vol. 89(3), pages 522-533, August.
- Richard Blundell & Steve Bond, 1995.
"Initial conditions and moment restrictions in dynamic panel data models,"
IFS Working Papers
W95/17, Institute for Fiscal Studies.
- Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
- R Blundell & Steven Bond, "undated". "Initial conditions and moment restrictions in dynamic panel data model," Economics Papers W14&104., Economics Group, Nuffield College, University of Oxford.
- Blundell, R. & Bond, S., 1995. "Initial Conditions and Moment Restrictions in Dynamic Panel Data Models," Economics Papers 104, Economics Group, Nuffield College, University of Oxford.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
- Dubofsky, David A, 1991. " Volatility Increases Subsequent to NYSE and AMEX Stock Splits," Journal of Finance, American Finance Association, vol. 46(1), pages 421-431, March.
- Han, Chirok & Phillips, Peter C. B., 2010.
"Gmm Estimation For Dynamic Panels With Fixed Effects And Strong Instruments At Unity,"
Cambridge University Press, vol. 26(01), pages 119-151, February.
- Chirok Han & Peter C.B. Phillips, 2007. "GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity," Cowles Foundation Discussion Papers 1599, Cowles Foundation for Research in Economics, Yale University.
- M Arellano & O Bover, 1990.
"Another Look at the Instrumental Variable Estimation of Error-Components Models,"
CEP Discussion Papers
dp0007, Centre for Economic Performance, LSE.
- Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
- Ohlson, James A. & Penman, Stephen H., 1985. "Volatility increases subsequent to stock splits: An empirical aberration," Journal of Financial Economics, Elsevier, vol. 14(2), pages 251-266, June.
- Randal R. Rucker & Walter N. Thurman & Jonathan K. Yoder, 2005. "Estimating the Structure of Market Reaction to News: Information Events and Lumber Futures Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(2), pages 482-500.
- Carter, Colin A. & Smith, Aaron D., 2004. "The Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," Working Papers 11997, University of California, Davis, Department of Agricultural and Resource Economics.
- Stephen W. Pruitt & Wuttipan Tawarangkoon & K. C. John Wei, 1987. "Chernobyl, commodities, and chaos: An examination of the reaction of commodity futures prices to evolving information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(5), pages 555-569, October.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Manuel Arellano & Stephen Bond, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
Review of Economic Studies,
Oxford University Press, vol. 58(2), pages 277-297.
- Tom Doan, "undated". "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:ags:ubzefd:149414. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.