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Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Yang Liu, Liyan Han and Libo Yin

Journal of Futures Markets, 2018, vol. 38, issue 10, 1246-1261

Abstract: This study investigates the impact of news implied volatility (NVIX) and its two sub‐components (news about stock markets, SMI, and news about banks and other financial intermediaries, FII) on the long‐term volatilities of commodity futures. Our empirical results clearly show that NVIX behaves heterogeneously in energy and non‐energy sectors. NVIX exerts a positively significant influence on volatilities of non‐energy futures. By contrast, volatilities of energy futures cannot be triggered by NVIX. We further show that SMI significantly affects both energy and non‐energy futures, whereas, FII only impacts non‐energy futures.

Date: 2018
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