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Role of Crude Oil, Natural Gas and Wheat Prices and the Impact of the ‎Russian-Ukrainian War on the Investor Social Network Sentiment; Evidence ‎from the US Stock Market

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  • NEIFAR, MALIKA
  • HDIDER, ANIS

Abstract

Through an empirical analysis of the impact of fluctuations in the international prices of crude oil, natural gas ‎and wheat on the US stock market performance, the study seeks to show evidence of the investor social ‎network sentiment effects post the Ukraine war declaration on February 24, 2022. A ‎comparative approach was used for Ukraine's pre- vs post-war declaration period. The ‎considered models are of the GARCH-X type. Founding show that only post-war declaration; ‎investor sentiment as well as the economic factors such as the prices of raw materials ‎‎(including crude oil and natural gas) and food (wheat) have caused the volatility of the S&P ‎‎500 index return, while market volatility (VIX) affect negatively the stock market return pre- ‎and post-war declaration.‎

Suggested Citation

  • Neifar, Malika & Hdider, Anis, 2024. "Role of Crude Oil, Natural Gas and Wheat Prices and the Impact of the ‎Russian-Ukrainian War on the Investor Social Network Sentiment; Evidence ‎from the US Stock Market," MPRA Paper 120920, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:120920
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    File URL: https://mpra.ub.uni-muenchen.de/120920/1/MPRA_paper_120920.pdf
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    More about this item

    Keywords

    S&P500 stock index; American market volatility (the VIX index); American investor ‎sentiment on tweeter; Ukraine War; commodity prices (crude oil; natural gas and wheat); ‎GARCH-X model.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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