Finance and Financial Management Commons^™

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 …