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How connected is the agricultural commodity market to the news-based investor sentiment?

Akyildirim, Erdinc; Cepni, Oguzhan; Pham, Linh; Uddin, Gazi Salah (2022). How connected is the agricultural commodity market to the news-based investor sentiment? Energy Economics, 113:106174.

Abstract

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 returns and sentiments are influenced by the economic and financial uncertainties, including the global COVID-19 pandemic. In particular, we document that the COVID-19 induced uncertainty influences agricultural commodity returns and sentiments significantly around the first cycle of the pandemic in 2020. Last but not least, economic policy and financial market uncertainty are also found to be significant determinants of the connectedness between agricultural commodity returns and sentiment spillovers.

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Economics and Econometrics
Physical Sciences > General Energy
Scope:Discipline-based scholarship (basic research)
Language:English
Date:September 2022
Deposited On:30 Dec 2022 06:45
Last Modified:28 Oct 2024 02:40
Publisher:Elsevier
ISSN:0140-9883
OA Status:Closed
Publisher DOI:https://doi.org/10.1016/j.eneco.2022.106174
Official URL:https://doi.org/10.1016/j.eneco.2022.106174
Other Identification Number:merlin-id:23033
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