Novel and old news sentiment in commodity futures markets

Yeguang Chi, Lina El-Jahel and Thanh Vu

Energy Economics, 2024, vol. 140, issue C

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.

Keywords: Commodity futures returns; News sentiment; Novel news; Old news (search for similar items in EconPapers)
JEL-codes: C01 G00 G10 G14 G40 Q02 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400714x

DOI: 10.1016/j.eneco.2024.108006

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