News sentiment in the gold futures market

Lee Smales

Journal of Banking & Finance, 2014, vol. 49, issue C, 275-286

Abstract: This article utilises commodity specific news sentiment data provided by Thomson Reuters News Analytics to examine the relationship between news sentiment and returns in the gold futures market over the period 2003–2012. There is an asymmetric response to news releases with negative news sentiment invoking a greater contemporaneous response in returns of gold futures. There is evidence to support the supposition that net trader positions significantly impact the identified sentiment relationship with the effect greatest when traders are holding positions contrary to their natural position; this may be explained by constraints imposed on traders in terms of credit availability, exchange imposed limits, or inventory required for physical settlement. Recession, and associated changes in credit costs, impact the size of net positions and the news sentiment/return relationship.

Keywords: News sentiment; Futures markets; Trading behaviour; Gold; COMEX; Information (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (67)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:49:y:2014:i:c:p:275-286

DOI: 10.1016/j.jbankfin.2014.09.006

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