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News And Social Media Emotions In The Commodity Market, Jiancheng Shen, Mohammad Najand, Feng Dong, Wu He
News And Social Media Emotions In The Commodity Market, Jiancheng Shen, Mohammad Najand, Feng Dong, Wu He
Finance Faculty Publications
Purpose--Emotion plays a significant role in both institutional and individual investors' decision-making process. Emotions affect the perception of risk and the assessment of monetary value. However, there is a lack of empirical evidence available that addresses how investors' emotions affect commodity market returns. The purpose of this paper is to investigate whether media-based emotions can be used to predict future commodity returns.
Design/methodology/approach--The authors examine the short-term predictive power of media-based emotion indices on the following five days' commodity returns. The research adopts a proprietary data set of commodity-specific market emotions, which is computed based on a comprehensive …