 The Impact of Market Factors and News Sentiments on Silver Futures ETFsYu-Min Lian, Jian-Chi Yang and Ko-Liang Kuo Journal of Applied Finance & Banking, 2022, vol. 12, issue 2, 2 Abstract: This study constructs a multi-factor capital asset pricing model (CAPM) to analyze systematic risk and other influential risk factors in the silver futures exchange-traded funds (silver futures ETFs) market and then provides an analysis of precious metals investments as a reference. Specifically, the volatility index (VIX) and the real estate investment trusts (REITs) are used as influences of silver futures on political and economic factors. In addition, we use text mining to capture news events on the network into a Boolean matrix, which transforms unstructured data into structured data. Further, the term frequency (TF) and inverse document frequency (IDF) algorithm are applied to calculate the most important keywords on the market and measure them in the model after a sentimental evaluation. The empirical results show that the silver futures ETFs market is indeed affected by market news, providing investors in this market with a reference. Â JEL classification numbers: C10, C13, G00, G10. Keywords: Silver futures ETFs, Volatility index; Real estate investment trusts, Text mining, Inverse document frequency. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spt:apfiba:v:12:y:2022:i:2:f:12_2_2 Access Statistics for this article More articles in Journal of Applied Finance & Banking from SCIENPRESS Ltd |
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