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
Malika Neifar and
Anis Hdider
MPRA Paper from University Library of Munich, Germany
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.
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. (search for similar items in EconPapers)
JEL-codes: E44 G11 G15 (search for similar items in EconPapers)
Date: 2024-05-13
New Economics Papers: this item is included in nep-cis and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:120920
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