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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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