Publication: How connected is the agricultural commodity market to the news-based investor sentiment?
How connected is the agricultural commodity market to the news-based investor sentiment?
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Akyildirim, E., Cepni, O., Pham, L., & Uddin, G. S. (2022). How connected is the agricultural commodity market to the news-based investor sentiment? Energy Economics, 113, 106174. https://doi.org/10.1016/j.eneco.2022.106174
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Previous studies indicate a substantial time-variation in the co-movement of commodity futures markets and economic fundamentals. This paper examines the connectedness and directional spillovers for both the agricultural commodity futures markets and the corresponding sentiment indices. We first construct dynamic time-varying connectedness measures both for the agricultural commodity returns and sentiments. Then, we use panel data regressions and time-varying Granger causality tests to evaluate whether the spillovers between these ret
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- Akyildirim, Erdinc
- Cepni, Oguzhan
- Pham, Linh
- Uddin, Gazi Salah
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Akyildirim, E., Cepni, O., Pham, L., & Uddin, G. S. (2022). How connected is the agricultural commodity market to the news-based investor sentiment? Energy Economics, 113, 106174. https://doi.org/10.1016/j.eneco.2022.106174